عوامل تعیین کننده ارزش سهامداران در بانکداری اروپا

This paper examines the determinants of shareholder value creation for a large sample of European banks between 1998 and 2005. As the recent turmoil in global banking systems has illustrated, bank performance can have a substantial influence on efficient capital allocation, company growth and economic development. We use a dynamic panel data model where the bank’s shareholder value is a linear function of various bank-specific, industry-specific and macroeconomic variables. We show that shareholder value has a positive relationship with cost efficiency changes, while economic profits are linked to revenue efficiency changes. Credit losses, market and liquidity risk and leverage are also found to substantially influence bank performance. These results are robust to a variety of different model specifications.

European banking has experienced substantial changes over the last two decades as various forces such as structural deregulation, prudential reregulation, technological advances and globalisation have changed the competitive landscape (Goddard et al., 2007). As a consequence, it is not surprising that there is a well established and growing literature that focuses on various factors that influence the performance of banks. As the turmoil in global banking systems since mid-2007 has illustrated, bank performance can have a substantial influence on efficient capital allocation, company growth and economic development in general. Consequently, it is crucial to assess how banks make profits and create value for their owners. Recent studies (Berger et al., 2004, Berger and Mester, 2003, Salas and Saurina, 2003, Athanasoglou et al., 2008, Brissimis et al., 2008 and Lepetit et al., 2008) tend to consider a range of factors (bank-specific, industry-specific and macroeconomic) that are believed to have an impact on bank profitability. Focussing on studies dealing with European banking, Brissimis et al. (2008), examine the relationship between bank performance (measured by three measures: productive efficiency, total factor productivity growth and net interest margin) with banking sector reforms (measured using the EBRD index of banking sector reform), bank competition variables and bank risk-taking variables (focussing on credit, liquidity and capital risks) between 1994 and 2005. Overall they find that (a) banking sector reform and competition have a positive impact on productive efficiency; (b) capital and credit risk have a negative relationship with the majority of bank performance measures; and (c) liquid assets reduce bank efficiency and productivity. Similarly, Athanasoglou et al. (2008) examine the effect of bank-specific (i.e. capital, productivity growth, efficiency, credit risk, size), industry-specific (i.e. ownership and concentration) and macroeconomic (i.e. inflation and cyclical output) determinants on bank profitability using a sample of Greek banks between 1985 and 2001. The authors find that all bank-specific determinants (with the exception of size) influence bank profits. Lepetit et al. (2008) analyse the relationship between bank risk and product diversification using a sample of European banks between 1996 and 2002. According to their findings, banks with higher non-interest income display higher risk than banks which mainly supply loans. Namely, the positive link between risk and non-interest income is most apparent for small banks: this is essentially related to commission and fee activities, while a higher share of trading activities is not associated with higher risk. Other studies consider different source of profits focussing on other bank features. For example, Cummins et al., 2006 and Gillet et al., 2010 investigate the relationship between operational risk and bank stock price reactions. Other studies focus on bank financial structure (e.g. Berger and Bonaccorsi di Patti, 2006 and Margaritis and Psillaki, forthcoming) finding that higher leverage (or a lower equity capital ratio) is generally associated with higher efficiency, all else equal. Other studies (e.g. Kwan and Eisenbeis, 1997 and Demirgüç-Kunt and Huizinga, 2004) recognise that loan and deposit growth rates are a useful indicator of bank profitability and soundness. While there is a well established and growing literature that focuses on various factors that influence the performance of banks, few studies use shareholder value creation metrics as their performance indicator. This is surprising given that creating value for shareholders has been the main strategic objective of banks over the last decade or so. Unexpectedly, a small number of studies have sought to link measures of bank productive efficiency to shareholder value and, generally find a positive relationship. Fiordelisi (2007) develops a new measure of bank performance (referred to as “shareholder value efficiency”) where a bank producing the maximum possible Economic Value Added (EVA), given particular inputs and outputs, is defined as “shareholder value efficient”, while Beccalli et al. (2006) test the relationship between stock returns (dependent variable) and various efficiency measures, generally finding a positive link between return and improvements in efficiency. The main limitation of these studies is that these studies typically focus on the relationship between shareholder value and just one type of bank-specific determinant (i.e. bank efficiency), but do not say much about other factors that may influence shareholder returns (such as bank’s risk-taking, cost of capital, firm growth, etc.). In addition, these studies do not take into account the cost of capital so using simple stock returns as a measure of shareholder value may be over-stated. Overall, the extant empirical literature on the determinants of shareholder value creation in banking appears somewhat limited (especially compared with those dealing with the determinants of bank profitability). This paper aims to extend the established literature by: (1) jointly analysing a broad range of factors impacting on shareholder value creation in European banking; (2) empirically testing the causality of these factors in the value creation process; (3) including both listed and non-listed banks in our analysis; (4) taking into account trade-offs between various value determinants. As such, this paper aims to provide a comprehensive study of the determinants of shareholder value creation in European banking.

This paper examines the determinants of shareholder value creation for a large sample of European banks between 1998 and 2005. While there is a well established and growing literature that focuses on various factors that influence the performance of banks, few studies analyse shareholder value creation despite this being a major strategic objective of banks over the last decade or so. In order to have a broad view of the European banking sector, the sample analysed comprises both listed and non-listed banks from 12 countries in the EU-15 between 1998 and 2005. We use a dynamic panel model to examine the determinants of bank’s shareholder value creation (measured by EVA and its components) as a linear function of various bank-specific, industry-specific and macroeconomic. We find that various factors are found to be statistically significant drivers of economic profits and shareholder value created by banks. Consistently with the previous literature, we find that cost and revenue efficiency are positively related to bank performance: namely, economic profits are found to have a positive link with revenue efficiency improvements, while EVA is positively related to cost efficiency improvements. This provides evidence that the relationship between efficiency and bank performance cannot be safely assessed without analysing both how quick actions pay off and the externalities generated by these actions. Secondly, we find a positive relationship between credit losses and shareholder value providing evidence that higher unexpected losses imply larger business volume and perhaps lower loan portfolio quality. Thirdly, we observe a positive link between bank’s leverage and economic profits, but not with EVA. This is due to the positive relationship between financial leverage and the cost of capital, overall, greater financial leverage increase economic profits but this is offset by higher opportunity costs of capital. The robustness checks (including the Granger-causality tests) suggest that the above relationships are consistent using different model specifications, shareholder value indicators and that the links between efficiency, leverage, credit risk and shareholder value are causal.