Dependent Variable: Rating Change

Both Positive and Negative

Positive

Negative

(1) OLS

(2) OLS

(3) OLS

(4) OLS

(5) Tobit

(6) Tobit

Intercept

0.426

***

0.991

***

0.993

***

1.618

***

1.905

***

−0.33

LIST_CAR (−7, −1)

−1.604

***

−1.644

***

−1.863

***

−1.515

***

−1.345

***

−1.248

**

LIST_CAR (0, 0)

−3.006

***

−2.456

***

−2.445

***

−2.151

***

−2.076

***

−1.987

***

LIST_CAR (+1, +3)

0.177

0.284

0.282

0.278

0.171

−0.511

SPAN

−0.002

***

−0.002

***

−0.002

***

−0.002

***

−0.001

LIST_RATING

−0.03

**

−0.031

**

−0.035

*

−0.048

**

−0.032

NEAR_JUNK

0.253

**

0.294

**

0.31

**

0.383

***

NEAR_INVESTMENT

−1.806

***

−1.837

***

−1.848

***

−2.944

***

LIST_CAR (−7, −1)* NEAR_JUNK

1.66

*

2.066

**

1.271

LIST_CAR (−7, −1)* NEAR_INVESTMENT

−3.033

−2.827

−1.746

LN(ASSETS)

−0.013

−0.009

−0.002

ROA

−0.305

−0.312

−0.025

DEBT_RATIO

−0.103

−0.245

−0.044

CASH_RATIO

0.276

−0.08

0.051

Year Dummy

No

No

No

Yes

Yes

Yes

R-Square

0.087

0.194

0.209

0.217

0.47

0.340

F-Value

19.93

***

21.58

***

17.24

***

11.1

***

N

598

598

598

583

583

583

Equality of Coefficients (F-Test)

Difference

Difference

Difference

Difference

Difference

Difference

H₀: LIST_CAR (−7, −1) = LIST_CAR (0, 0)

1.402

***

0.812

0.582

0.636

0.731

0.739