مجموع بهره وری کل عامل و بازده سهامدار در بانکداری

This paper examines shareholder value drivers in European banking focusing on the efficiency and productivity features of individual banks. In particular, we analyse the value relevance of bank cost efficiency and total factor productivity (TFP) (in all its components, including technological change, pure technical efficiency change and scale efficiency change) to see how these influence shareholder value creation in European banking. The paper focuses on the French, German, Italian and U.K. banking systems over the period 1995–2002 and includes both listed and non-listed banks. We find that TFP changes best explain variations in shareholder value (measured by market-adjusted returns, MAR, for listed banks and by the ratio of EVAbkg to invested capital at time t−1 for non-listed banks). In both samples, we also find that technological change seems to be the most important component of TFP influencing shareholder value creation in European banking.

The changing structural landscape of banking systems and the evolving competitive environment is expected to impact on the efficiency and productivity of banking business and this one would be expected to be reflected in bank stock performance. As such, this paper presents an insight into how bank efficiency and the main components of productivity are linked to value creation in the European banking system. There is a substantial literature examining factors that influence the performance of banks (see [75], [64], [66], [1] and [65]). However, few of these studies use shareholder value creation indicators as measures of bank performance and this is surprising given that creating value for owners (generating returns in excess of the cost of capital) has been the main strategic objective of banks over the last decade or so.1 As Greenspan [2] affirms “you may well wonder why a regulator is the first speaker at a conference in which a major theme is maximising shareholder value… regulators share with you the same objective of a strong and profitable bank system”.2 While there are extensive literatures dealing with bank efficiency and productivity3 as well as shareholder value,4 only a handful of studies (e.g. [3], [4], [5], [6] and [7]) have empirically analysed the relationship between efficiency and shareholder value. Fernandez et al. [4] analyse the relationship between the components of productivity change (estimated using DEA) and bank stock performance using a panel of 142 banks operating in 18 different countries between 1989 and 1998. Fernández et al. [4] find that market returns have a strong positive relationship with pure efficiency change and technical change, while there is a weak relationship with scale efficiency. Beccalli et al. [3] estimate cost efficiency of a panel of European listed banks (using DEA and Stochastic Frontier Analysis—SFA) and find that changes in the prices of bank shares reflect percentage changes in cost efficiency, particularly those derived from DEA. Eisenbeis et al. [5] analyse the ability of cost efficiency (estimated using DEA and SFA) in explaining risk-taking behaviour, managerial competence and bank stock returns. The authors estimate a negative relationship between cost inefficiency and stock returns and find that the stochastic frontier produces relatively more informative performance measures than does DEA. Chu and Lim [6] analyse a panel of six Singapore-listed banks (over the period 1992–1996) and find that percentage change in the price of bank shares reflect percentage change in profit rather than cost efficiency estimated using DEA. Fiordelisi [7] examines the performance of a large sample of listed and unlisted European banks between 1997 and 2002 and finds (using Economic Value Added as the main output) that, on average, banks are 36% shareholder value inefficient. He argues that shareholder value efficiency better explains value creation in European banking compared to cost or profit efficiency.

This paper analyses the determinants of value creation in European banking by examining how factors such as cost efficiency and productivity changes relate to shareholder value creation in French, German, Italian and U.K. banking between 1995 and 2002. Overall we find that total factor productivity (TFP) changes best explain variations in shareholder value (measured by MAR for listed banks and by the ratio of EVAbkg to invested capital at time t−1 for non-listed banks). In general we find improvements in best practice banks (technological change) best explain variation in value creation compared to movements of banks closer to best-practice frontiers. When both productivity and catch-up features are investigated it seems that scale factors are less important than other factors, such as optimal input usage and pure technical efficiency change in explaining value creation—so optimal output/size appear less important than other effects.