بهره وری و عملکرد سهام بانک های اتحادیه اروپا : آیا یک رابطه وجود دارد؟

The purpose of this paper is to examine whether the stock performance of EU listed banks is related to their efficiency. Our sample consists of 171 banks operating in 15 EU markets over the period 2002–2006. First, we use stochastic frontier analysis to estimate the cost and profit efficiency of banks, while controlling for environmental factors. Then, we investigate if changes in profit and cost efficiency are reflected in changes in stock prices. Our results indicate that the change in profit efficiency has a positive and significant impact on stocks prices; however, there is no relationship between changes in cost efficiency and stock returns.

Over the last decades, a number of studies have examined the efficiency of banks using parametric and non-parametric techniques. A major part of this literature is dedicated in analyzing the banking performance in domestic markets (e.g. Berger and Humphrey [1], Drake [2], Lozano-Vivas [3]), while some recent studies provide cross country evidence (e.g. Maudos et al. [4], Delis and Papanikolaou [5]). Furthermore, irrespective of the geographical coverage, these studies examine various issues such as the impact of environmental conditions (e.g. Lozano-Vivas et al. [6], Avkiran [7]), the impact of risk (e.g. Altunbas et al. [8]), off-balance sheet activities (e.g. Pasiouras [9]), different techniques for the construction of the frontiers (e.g. Weill, [10]), and efficiency at a branch level (e.g. Camanho and Dyson, [11]; Das et al., [12]). However, as Beccalli et al. [13] point out, despite the rich literature on bank efficiency, there have been only a few studies that attempt to link the efficiency of banks to their stock performance. This is surprising, since the studies on stock market behavior indicate that there is a link between stock prices and earnings (see Kothari [14] for a review of the literature). Considering the argument that efficiency estimates derived from frontier techniques are superior to traditional accounting ratios in assessing the performance of banks [15], [16] and [17] it would be interesting to examine whether such information is incorporated in stock returns. Stock returns denote the measure if banks are creating value for shareholders or not. It may be expected that lower cost or higher profit result to higher return for stock performance, even though the extent of stock performance change may not incorporate the extent of earning changes. An increase of the profitability and/or a decrease of the cost generate expectations to the investors for better future financial results and respectively, for higher stock prices and earnings. In our assignment, the main objective is to study whether cost and profit efficiency reflect the price formation process. So far our knowledge is limited to evidence from a few studies that examine individual countries such as Spain [18], Singapore [19], US [20], Australia [21], and Greece [22], as well as the cross-country study of Beccalli et al. [13] that examines the five principal EU banking sectors (i.e. France, Germany, Italy, Spain and UK). These studies estimate mainly technical and/or cost efficiency measures and tend to document a positive relationship with stock returns. In the present study, we aim to add to this body of the literature by providing evidence from 15 EU countries. The selection of the aforementioned countries was based on the homogeneity of their economic environmental while the stock markets in EU of 15 are more developed in relation to the other European countries, which are characterized as emerging markets. Obviously, from the above studies, we differentiate our paper in three important respects. First, we extend the analysis to cover other EU countries. It is likely that differences between the principal and smaller banking sectors will yield interesting results. Second, we consider a longer time period as we examine stock returns over four years. In relation to this, it is also important to highlight that Beccalli et al. [13] examine stock returns over 2000, a rather problematic period due to the bullish market in the first months and the sharp decrease in the following months. In contrast, the period that we examine (2003–2006) was more stable. The third and probably most important difference is that we examine both profit and cost efficiency1. It seems that profitability is the key underlying factor that drives stock performance. This is not surprising as shareholders are rather conscious for the profits of a firm rather than its costs, as the dividends that they receive depend on the firm's earnings. In a study that examines the relationship between various traditional performance measures and stock returns in the US, Chan et al. [23] argue that one drawback of sales per share is that it may have little relation to underlying profitability. Therefore, if investors focus on profitability, sales will not measure the variation in financial performance that they perceive to be a key driver of future dividends. Obviously, by interpolation we can make a similar argument about cost and profit efficiency. Our approach is consistent with studies that use traditional accounting measures of performance and focus on earnings driven measures such as operating or net income (e.g. Chan et al. [23], Chen and Zhang [24]) rather than expenses. The rest of the paper is structured as follows. Section 2 presents our data and methodology. Section 3 discusses the empirical results. Section 4 concludes the study.

This paper examined for the first time the link between the efficiency of listed banks from EU-15 and their stock price returns. We used a sample of 171 listed banks, for a five year period so as to measure profit and cost efficiency scores, while controlling for macroeconomic and other country specific characteristics. Our results indicated a higher profit than cost inefficiency for the whole period under investigation that is consistent with the results of previous studies. In particular, the overall mean cost inefficiency was around 10%, while the corresponding figure for profit inefficiency was around 21%. Turning to the relationship between efficiency changes and stock returns, our results indicated that changes in profit efficiency were statistically significant and positively related to stock returns. However, we found no evidence of a significant relationship between cost efficiency and stock returns. Thus, it seems that profit efficiency scores, incorporate helpful and important information which could be used from shareholders and potential investors.