بهره وری ارزش سهام در بانکداری اروپا

This paper advances the studies of [Hughes, J.P., Lang W.W., Mester L.J., Moon C.G., Pagano M.S., 2003. Do bankers sacrifice value to build empires? Managerial incentives, industry consolidation, and financial performance. Journal of Banking and Finance 27, 417–447] by developing a new measure of bank performance which we refer to as “shareholder value efficiency” – a bank producing the maximum possible Economic Value Added (EVA), given particular inputs and outputs, is defined as “shareholder value efficient”. This new efficiency measure is estimated using the stochastic frontier method focussing on the French, German, Italian and UK banking systems over the period 1997–2002 and includes both listed and non-listed banks. We find that European banks are, on average, 36% shareholder value inefficient. Shareholder value efficiency is found to be the most important factor explaining value creation in European banking, whereas cost and profit efficiency only have a marginal influence.

A substantial body of literature has emerged on bank efficiency and shareholder value issues, but these have mainly developed separately. Studies dealing with bank efficiency focus on methodological issues (e.g. Berger, 1993 and Altunbas and Chakravarty, 2001), compare estimates from different approaches (e.g. Berger and Mester, 1997 and Bauer et al., 1997), estimate bank efficiency focussing on countries and/or financial sectors that have not been analysed in previous studies (e.g. Sathye, 2001, Green and Segal, 2004 and Beccalli, 2004) and assess the sources of bank inefficiency and the role of environmental factors (e.g. Dietsch and Lozano-Vives, 2000, Berger and De Young, 2001 and Chaffai et al., 2001). The shareholder value literature typically focuses on developing and comparing new performance measures (e.g. O’Hanlon and Peasnell, 1998 and Garvey and Milbourn, 2000), evaluates how traditional company performance measures, usually accounting indicators, explains variation in shareholder value (e.g. Barth and Beaver, 2001 and Holthausen and Watts, 2001), and evaluates other relationships between market and accounting values (e.g. Ohlson, 1995, Felthman and Ohlson, 1995, Dechow et al., 1999, Lo and Lys, 2000, Liu and Ohlson, 2000, Biddle et al., 2001 and Ota, 2002). Over the last decade or so, only a few studies (e.g. Beccalli et al., 2006, Eisenbeis et al., 1999 and Chu and Lim, 1998) have attempted to bring together these two branches of literature by empirically analysing the relationship between bank efficiency and shareholder value creation. These studies have usually focussed on publicly listed bank by assessing the explanatory power of various efficiency and productivity measures on stock market returns – typically they usually provide evidence of a positive relationship between efficiency/productivity and stock market returns. Beccalli et al., 2006; for example, estimates cost efficiency for a sample of European listed banks and find that changes in the prices of bank shares reflect percentage changes in cost efficiency – particularly those derived from the data envelopment analysis (DEA) efficiency estimates. Eisenbeis et al. (1999) investigate the ability of cost efficiency (estimated using DEA and SFA) to explain risk-taking behaviour, managerial competence and bank stock returns. They find a negative relationship between cost inefficiency and stock returns and conclude that the stochastic frontier cost efficiency estimates provide more information relating to stock returns compared with the DEA efficiency measures. Chu and Lim (1998) analyse a panel of six Singapore listed banks and find that changes in bank stock prices are more closely related to changes in profit rather than cost efficiency. While it is recognised that “profit maximisation is superior to cost minimisation for the study of firm performance because it more completely describes the economic goals of firms and their owners, who take revenues into account as well as costs” (Berger et al., 1999, p. 12), the relationships between these efficiency measures and shareholder value creation is by no means certain. A company creates value for shareholders over a given time period when the return on invested capital is greater than its opportunity cost, or than the rate that investors could earn by investing in other securities with the same risk. As profit efficiency measures typically do not explicitly take account of risk or the opportunity cost of capital they may not be the most relevant performance indicator reflecting bank strategy and behaviour. In order to address these limitations Hughes et al., 2003 and Hughes et al., 2004 propose a different approach to analyse efficiency and stock values relationships by developing the concept of market-value shortfall (i.e. the shortfall of a bank’s market value from its highest potential market value) and the ‘shortfall ratio’ (i.e. the shortfall of a bank’s market value from its highest potential market value as a proportion of the bank’s book-value investment in its assets, net of goodwill). Hughes et al., 2003 and Hughes et al., 2004 estimated this new efficiency measure using stochastic frontier techniques to fit an upper envelope of market value (market value frontier) and the difference between the envelop value and the achieved market value is defined as market value efficiency. Using a sample of 169 US publicly listed bank holding companies over the three-year period 1992–1994, Hughes et al., 2003 and Hughes et al., 2004 estimate that (1) the mean market-value shortfall is $429,071 and the shortfall ratio is 0.191; (2) the mean market-value shortfall for the sub-sample of under performing banks (i.e. banks having the shortfall ratio larger than the median shareholder ratio) is $361,673 and $4,971,272 for the sub-sample of better performing banks (i.e. banks having a shortfall ratio lower than the median shareholder ratio). The shortfall ratio is 0.325 for under performing banks and 0.055 for better performing banks. The market-value shortfall measure of Hughes et al., 2003 and Hughes et al., 2004, captures bank owner’s objectives better than profit efficiency (since it focuses on the market value of bank assets), but it does not take into account the relationship between market returns and the opportunity cost of capital involved in banking activities. In addition, the market-value shortfall measure can only be used for publicly listed companies and this is a limitation as in many banking systems (including Europe) the number of listed banks is small compared with non-listed institutions. This paper advances the studies of Hughes et al., 2003 and Hughes et al., 2004 by developing a new measure of bank performance which we refer to as “shareholder value efficiency” – a bank producing the maximum possible shareholder value, given particular outputs, is defined as “shareholder value efficient”. This new efficiency measure is estimated using the stochastic frontier approach (SFA) focussing on the French, German, Italian and UK banking systems over the period 1997–2002. Overall we find that our new measure better explains shareholder value creation (variation in EVA/capital invested) compared to traditional cost and profit efficiency measures. The paper also enable us to determine the importance of various exogenous variables on the estimated efficiency measures such as bank types, ownership, etc; and finally, to assess the marginal contribution of the new efficiency measure in explaining value creation.

This paper advances the studies of Hughes et al., 2003 and Hughes et al., 2004 by developing a new measure of bank performance which we refer to as “shareholder value efficiency” – a bank producing the maximum possible economic value added (tailored for banks – EVAbkg), given particular inputs and outputs, is defined as “shareholder value efficient”. This new efficiency measure is estimated using the stochastic frontier method focussing on the French, German, Italian and UK banking systems over the period 1997–2002. We find that European banks lose around one-third of potential shareholder value due to inefficiency. The level of profit inefficiency is found to be similar whereas cost inefficiency is lower at around 25%. Surprisingly we find that the cost, profit and shareholder value measures derived from the frontier estimation are only weakly related suggesting that they all provide different information concerning the efficiency of bank operations. In assessing the relationship between these efficiency measures and our indicator of shareholder value creation (EVAbkg/Capital Invested), we find that all have a positive and statistically significant influence in explaining value creation although the contribution of the traditional cost and profit efficiency measures are somewhat limited. Overall, the issue of shareholder value creation in banking is deserving of future research. We suggest that future studies could seek to develop alternative shareholder value efficiency indicators and link these to market based indicators of value creation – such as market-adjusted returns on capital. Similarly, future research may compare shareholder value efficiency estimates with cost and profit efficiency estimated using alternative statistical approaches such as data envelopment analysis. In addition, greater attention could be focused on how differences in the cost of capital impact on value creation and efficiency issues.