Fotios Pasiouras

Efficiency and Productivity Growth (eBook, PDF)

Modelling in the Financial Services Industry

• Format: PDF

Produktbeschreibung

An authoritative introduction to efficiency and productivity analysis with applications in both the banking and finance industry In light of the recent global financial crisis, several studies have examined the efficiency of financial institutions. A number of open questions remain and this book reviews recent issues and state-of-the-art techniques in the assessment of the efficiency and productivity of financial institutions. Written by an international team of experts, the first part of the book links efficiency with a variety of topics like Latin American banking, market discipline and governance, economics of scale, off-balance-sheet activities, productivity of foreign banks, mergers and acquisitions, and mutual fund ratings. The second part of the book compares existing techniques and state-of-the-art techniques in the bank efficiency literature, including among others, network data envelopment analysis and quantile regression. The book is suitable for academics and professionals as well as postgraduate research students working in banking and finance. Efficiency and Productivity Growth: * Provides an authoritative introduction to efficiency and productivity analysis with applications in both the banking and mutual funds industry such as efficiency of Asian banks, cooperatives and not-for-profit credit associations. * Explores contemporary research issues in the area of efficiency and productivity measurement in the financial sector. * Evaluates the most suitable approaches to selecting inputs and outputs as well as selecting the most efficient techniques, such as parametric and non-parametric, to estimate the models.

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Produktdetails

• Verlag: John Wiley & Sons
• Seitenzahl: 288
• Erscheinungstermin: 14. März 2013
• Englisch
• ISBN-13: 9781118541562
• Artikelnr.: 37755933

Autorenporträt

Fotios Pasiouras, Department of Production Engineering and Management, Technical University of Crete, Greece.

Inhaltsangabe

Preface xiii Contributors xvii 1 Bank efficiency in Latin America 1 Philip
Molyneux and Jonathan Williams 1.1 Introduction 1 1.2 Privatization and
foreign banks in Latin America 2 1.3 Methodology 4 1.4 Model specification
and data 7 1.5 Estimated parameters and cost efficiency 10 1.6 Conclusion
15 References 15 2 A primer on market discipline and governance of
financial institutions for those in a state of shocked disbelief 19 Joseph
P. Hughes and Loretta J. Mester 2.1 Introduction 20 2.2 Assessing the
performance of financial institutions 21 2.3 Market discipline, public
regulation, and the federal safety net 24 2.4 Sources of market discipline
27 2.4.1 Ownership structure 27 2.4.2 Capital markets 37 2.4.3 Product
markets 37 2.4.4 Labor markets 39 2.4.5 Boards of directors 40 2.4.6
Compensation 41 2.5 Conclusions 42 Appendix 2.A: Measuring performance
based on the highest potential market value of assets 43 References 44 3
Modeling economies of scale in banking: Simple versus complex models 49
Robert DeYoung 3.1 Introduction 49 3.2 The increasing size of banks 50 3.3
What has allowed banks to grow larger? 53 3.3.1 New banking technologies 53
3.4 Why do banks choose to be large? 54 3.4.1 Objectives of bank management
55 3.4.2 Government subsidies 56 3.4.3 Scale economies 56 3.5 Econometric
modeling of bank scale economies 57 3.5.1 Findings from 50 years of studies
58 3.6 Weaknesses in econometric modeling of bank scale economies 60 3.6.1
Few and far between 61 3.6.2 Strategic groups 62 3.6.3 External costs 68
3.7 Other evidence on bank scale economies 68 3.7.1 Survivor analysis 68
3.7.2 The market price of banks 70 3.7.3 Bank size and bank risk-return
trade-offs 71 3.8 Conclusions 73 References 74 4 Optimal size in banking:
The role of off-balance sheet operations 77 Jaap W.B. Bos and James W.
Kolari 4.1 Literature review 78 4.2 Off-balance sheet activities of
European banks 79 4.3 Methodology 83 4.3.1 Stochastic frontier analysis 83
4.3.2 Functional form 84 4.3.3 Scale economies 85 4.4 Data 86 4.5 Results
86 4.5.1 Increasing OBS operations 86 4.5.2 Nonseparability effects of OBS
operations 89 4.6 Conclusion 91 References 91 5 Productivity of foreign
banks: Evidence from a financial center 95 Claudia Curi and Ana
Lozano-Vivas 5.1 Introduction 95 5.2 Literature overview 98 5.3 Methodology
100 5.3.1 TFP growth measures 100 5.3.2 Estimation of the TFP growth
measures 102 5.4 Data and sources 103 5.5 Empirical results 109 5.5.1
Productivity growth over time 109 5.5.2 Breaking down productivity growth
111 5.6 Conclusions 116 Acknowledgments 118 References 118 6 The impact of
merger and acquisition on efficiency and market power 123 Franco Fiordelisi
and Francesco Saverio Stentella Lopes 6.1 Introduction 123 6.2 Literature
review 125 6.3 Empirical design 125 6.3.1 Data 125 6.3.2 Variables 127
6.3.3 The econometric approach 129 6.4 Results 129 6.5 Conclusions 131
References 132 7 Backtesting superfund portfolio strategies based on
frontier-based mutual fund ratings 135 Olivier Brandouy, Kristiaan
Kerstens, and Ignace Van de Woestyne 7.1 Introduction 135 7.2
Frontier-based mutual funds rating models 137 7.2.1 A taxonomy 137 7.2.2 MF
frontier rating models retained 142 7.3 Backtesting setup, data
description, and frontier-based portfolio models 144 7.3.1 Backtesting
setup 144 7.3.2 Frontier-based portfolio models 146 7.3.3 Data description
146 7.4 Empirical analysis 148 7.4.1 Descriptive statistics 148 7.4.2
Analysis of both hedonic rating models 148 7.4.3 Backtesting results for 48
different strategies 153 7.4.4 Backtesting results for MF rating models:
Some plausible explanations 159 7.5 Conclusions 166 Acknowledgments 168
References 168 8 Bank efficiency measurement and network DEA: A discussion
of key issues and illustration of recent developments in the field 171
Necmi K. Avkiran 8.1 Introduction 171 8.2 Global financial crisis and the
importance of DEA in bank performance analysis 172 8.3 The wider
contribution of DEA to bank efficiency analysis and potential improvements
173 8.4 Principal advantages and disadvantages of DEA 174 8.5 DEA versus
stochastic frontier analysis 176 8.6 Drilling deeper with network DEA in
search of inefficiencies 177 8.6.1 Definition of 'Network' in banking
applications of NDEA 177 8.6.2 Conceptualizing bank branch production 179
8.6.3 Network slacks-based measure of efficiency 181 8.6.4 A brief
numerical example 183 8.6.5 Jackknifing versus bootstrapping 185 8.7 Moving
forward with DEA 186 8.8 Conclusions 187 Appendix 8.A: Jackknifing 188
References 189 9 A dynamic network DEA model with an application to
Japanese Shinkin banks 193 Hirofumi Fukuyama and William L. Weber 9.1
Introduction 193 9.2 Literature review of productivity analysis in credit
banks in Japan 194 9.3 Dynamic network production 196 9.3.1 The two-stage
technology 196 9.3.2 Three-year dynamic DEA 199 9.4 Cooperative Shinkin
banks: An empirical illustration 202 9.4.1 Defining bank inputs and outputs
202 9.4.2 NPLs in the efficiency/productivity measurement 203 9.4.3 Data
204 9.5 Estimates 205 9.6 Summary and conclusions 209 References 211 10
Effects of specification choices on efficiency in DEA and SFA 215 Michael
Koetter and Aljar Meesters 10.1 Introduction 215 10.2 Bank benchmarking
background 216 10.2.1 Theoretical foundations 216 10.2.2 Benchmarking
techniques 217 10.2.3 Specification options 218 10.3 Methodologies 220
10.3.1 Stochastic frontier analysis 220 10.3.2 Data envelopment analysis
221 10.4 Data 221 10.5 Results 225 10.5.1 Efficiency distributions 225
10.5.2 Rank correlations 230 10.5.3 Extreme performers 231 10.5.4
Accounting-based indicators 232 10.6 Conclusion 233 References 234 11
Efficiency and performance evaluation of European cooperative banks 237
Michael Doumpos and Constantin Zopounidis 11.1 Introduction 237 11.2
Methodology 239 11.2.1 Data envelopment analysis models 239 11.2.2
Multicriteria evaluation 240 11.3 Empirical results 241 11.3.1 Data and
variables 241 11.3.2 Efficiency analysis results 244 11.3.3 Multicriteria
evaluation results 247 11.4 Conclusions 251 References 251 12 A quantile
regression approach to bank efficiency measurement 253 Anastasia
Koutsomanoli-Filippaki, Emmanuel Mamatzakis, and Fotios Pasiouras 12.1
Introduction 253 12.2 Methodology and data 254 12.2.1 Methodology 254
12.2.2 Data and specification of the frontier 256 12.3 Empirical results
257 12.3.1 Cost efficiency estimates 257 12.3.2 Determinants of cost
efficiency 259 12.4 Conclusions 262 Appendix 12.A: Information on variables
262 References 265 Index 267