1 THE DETERMINANTS OF THE TUNISIAN BANKING INDUSTRY PROFITABILITY: PANEL EVIDENCE Samy Ben Naceur ERF Research Fellow Department of Fnance Unversté Lbre de Tuns Avenue Khéreddne Pacha, 002 Tuns Emal : October 2003 ABSTRACT Ths paper nvestgates the mpact of bank s characterstcs, fnancal structure and macroeconomc ndcators on bank s net nterest margns and proftablty n the Tunsan bankng ndustry for the perod. Frst, ndvdual bank characterstcs explan a substantal part of the wthn-country varaton n bank nterest margns and net proftablty. Hgh net nterest margn and proftablty tend to be assocated wth banks that hold a relatvely hgh amount of captal, and wth large overheads. Other mportant nternal determnants of bank s nterest margns bank loans whch have a postve and sgnfcant mpact. The sze has mostly negatve and sgnfcant coeffcents on the net nterest margns. Ths latter result may smply reflect scale neffcences. Second, the paper fnds that the macro-economc ndcators such nflaton and growth rates have no mpact on bank s nterest margns and proftablty. Thrd, turnng to fnancal structure and ts mpact on bank s nterest margn and proftablty, we fnd that concentraton s less benefcal to the Tunsan commercal banks than competton. Stock market development has a postve effect on bank proftablty. Ths reflects the complementartes between bank and stock market growth. We have found that the dsntermedaton of the Tunsan fnancal system s favourable to the bankng sector proftablty. Key words: bank nterest margn, bank proftablty, panel data, Tunsa. I. Introducton Restructurng of the commercal bankng system n Tunsa begun n 987, and was ntended to nstl competton n he bankng sector, moblze savngs and lead to a more effcent allocaton of resources. Reforms were artculated around fve axes: lberalzaton of nterest rates and credt allocaton, ntroducton of new ndrect monetary polcy,
2 strengthenng prudental regulaton, openng the fnancal sector to foregn fnancal nsttutons and promoton of the equty market. All these developments would certanly have mplcatons on the nterest margn and proftablty of the Tunsan bankng ndustry. Ths research paper was ntated by a seres of queston: Why are some commercal banks more successful than others? To what extent are dscrepances n bank s proftablty due to varaton n endogenous factors under the control of bank management and to what extent, do external factors mpact the fnancal performance of these banks? Answers to the questons would be helpful to dentfy the determnants of successful Tunsan commercal banks n order to formulate polces for mproved proftablty of these nsttutons. Ths paper follows n the footsteps of Abreu and Mendes (2002), Demerguç-Kunt and Huzngha (999) and Ben Naceur and Goaed (200) among others. It extends the exstng lterature several ways. Frst, usng bank level data for Tunsa n the perod (Ben Naceur and Goaed, 200 use only the perod), we provde statstcs on sze and decomposton of bank s nterest margn and proftablty. Second, the paper uses regresson analyss (panel data wth random effects) to fnd the underlyng determnants of Tunsan bankng ndustry performance. To ths end, a comprehensve set of nternal characterstcs s ncluded as determnants of bank s net nterest margn and proftablty. These nternal factors nclude equty, overhead, and nterest bearng assets. Thrd, whle studyng the mpact of bank s characterstcs on ther performance, we nclude macroeconomc (nflaton and growth) and fnancal structure ndcators (bank and market sze, and concentraton) to control for the effect of external factors (not ncluded n Ben Naceur and Goaed, 200). The remander of the paper s organzed as follows. A bref revew of relevant lterature s presented n secton II. The emprcal models we employ are descrbed n secton III, along wth a descrpton of the data used n the study. II. The Determnants of Bank Performance: Lterature Revew Studes on the determnants of bank s nterest margn and proftablty have focused whether on a partcular country (Berger, 995; Guru et al., 2002; Barajas et al., 200; Ben Naceur and Goaed, 200) and on a panel of countres (Abreu and Mendes, 2002; Demerguç- Kunt and Huzngha, 999).
3 II. Sngle country studes As most of the studes on bank performance are conducted n the US and emergng markets, we wll dvde our presentaton n two parts: US evdence and emergng market studes. The emprcal evdence n the US s due to Berger (995), Neeley and Wheelock (997) and Angbazo (997). Berger (995) examnes the relatonshp between the return on equty and the captal asset rato for a sample of US banks for the tme perod. Usng the Granger causalty model, he shows that the return of equty and captal to asset rato tend to be postvely related. Neeley and Wheelock (997) explore the proftablty of a sample of nsured commercal banks n the US for the perod. They fnd that bank performance s postvely related to the annual percentage changes n the state s per capta ncome. Anghazo (997) nvestgates the determnants of bank net nterest margns for a sample of US banks for perod. The results for the pooled sample documents that default rsk, the opportunty cost of non-nterest bearng reserves, leverage and management effcency are all postvely assocated wth bank nterest spread. The man Studes on the determnants of bank s performance n emergng countres were carred out n Colomba (Barajas et al.,999), Brasl (Afanaseff et al., 2002), Malaysa (Guru et al., 2002) and Tunsa (Ben Naceur and Goaed, 200). Barajas et al. (999) document sgnfcant effects of fnancal lberalzaton on bank s nterest margns for the Colomban case. Although the overall spread has not declned after fnancal reform, the relevance of the dfferent factors behnd the bank spreads were affected by such measures. Another change lnked wth the lberalzaton process was the ncrease of the coeffcent of loan qualty after the lberalzaton. Afanaseff et al. (2002) make use of panel data technques to uncover the man determnants of the bank nterest spreads n Brazl. A two-step approach due to Ho and Saunders (98) s used o measure the relatve mpact of the mcro and macro factors. The results suggest that macroeconomc varables are the most relevant elements to explan bank nterest spread n Brazl. Ben Naceur and Goaed (200) nvestgate the determnants of the Tunsan bank s performances durng the perod They ndcates that the best performng banks are those who have struggled to mprove labour and captal productvty, those who have mantaned a hgh level of depost accounts relatve to ther assets and fnally, those who have been able to renforce ther equty. Guru et al. (2002) attempt to dentfy the determnants of successful depost banks n order to provde practcal gudes for mproved proftablty performance of these nsttutons. The study s based on a sample of seventeen
4 Malaysan commercal banks over the perod. The proftablty determnants were dvded n two man categores, namely the nternal determnants (lqudty, captal adequacy and expenses management) and the external determnants (ownershp, frm sze and external economc condtons). The fndngs of ths study revealed that effcent expenses management was one of the most sgnfcant n explanng hgh bank proftablty. Among the macrondcators, hgh nterest rato was assocated wth low bank proftablty and nflaton was found to have a postve effect on bank performance. II.2 Panel country studes The panel country studes were focused on European companes (Molyneux and Thornton, 992; Abreu and Mendes, 2002), MENA countres (Bashr, 2000), and developed and developng countres (Demerguç-Kunt and Huzngha 999, 200). Molyneux and Thornton (992) were the frst to explore thoroughly the determnants of bank proftablty on a set of countres. They use a sample of 8 European countres durng the perod. They fnd a sgnfcant postve assocaton between the return on equty and the level of nterest rates n each country, bank concentraton and government ownershp. Abreu and Mendes (2002) nvestgate the determnants of bank s nterest margns and proftablty for some European countres n the last decade. They report that well captalzedbanks face lower expected bankruptcy costs and ths advantage translate nto better proftablty. Although wth a negatve sgn n all regressons, the unemployment rate s relevant n explanng bank proftablty. The nflaton rate s also relevant. Bashr (2000) examnes the determnants of Islamc bank s performance across eght Mddle Eastern countres for perod. A number of nternal and external factor were used to predct proftablty and effcences. Controllng for macroeconomc envronment, fnancal market stuaton and taxaton, the results show that hgher leverage and large loans to asset ratos, lead to hgher proftablty. The paper also reports that foregn-owned banks are more proftable that the domestc one. There s also evdence that taxaton mpacts negatvely bank proftablty. Fnally, macroeconomc settng and stock market development have a postve mpact on proftablty. In a comprehensve study Demerguç-Kunt and Huzngha (999) examne the determnants of bank nterest margns and proftablty usng a bank level data for 80 countres n the 988-
5 995 perod. The set of varables ncludes several factors accountng for bank characterstcs, macroeconomc condtons, taxaton, regulatons, fnancal structure and legal ndcators. They report that a larger rato of bank assets to GDP and a lower market concentraton rato lead to lower margns and profts. Foregn banks have hgher margns and profts than domestc banks on developng countres, whle the opposte preval n developed countres. On an another lnked paper, Demerguç-Kunt and Huzngha (200) present evdence on the mpact of fnancal development and structure on bank proftablty usng bank level data for a large number of developed and developng countres over the perod. The paper fnds that fnancal development has a very mportant mpact on bank performance. Specfcally, the paper reports that hgher bank development s related to lower bank performance (Tougher competton explans the decrease of proftablty). Stock market development on the other hand, leads to ncreased profts and margns for banks especally at lower levels of fnancal development, ndcatng complementartes between bank and stockmarket. III. Emprcal methodology and sample data III. Data sources and varable defnton The data used n the emprcal work were extracted from the Central bank data base. The sample nclude the man depost banks n Tunsa (0 banks) over the perod As all the banks n our sample are observed n the entre perod, we wll use n our emprcal work balanced panel data. The emprcal test s concerned wth the determnants of nterest margn and proftablty of the Tunsan depost banks. We use captal rato, overhead, loan and lqudty ratos as proxes for nternal ndcators. Meanwhle macro-economc measures and fnancal structure ndcators are used as external factors. A lnear equaton relatng the performance measures to a varety of factors s dsplayed n equaton : Per j,t = f (BC j,t + M t + FS t ) () Where: Perf j,t represents two alternatve performance measures for the frm j durng the perod t; BC j,t are bank varables for bank j at tme t; M t are macro-economc varables; FS t are measures of fnancal structure ndcators.
6 Although the prmary focus of ths paper s the relatonshp between net nterest margns and proftablty, and bank s characterstcs ndcators, the ncluson of macro-economc varables and fnancal structure ndcators s ntended to control for cyclcal factors that mght mpact bank proftablty n Tunsa. Two measures of performance are used n the study: the net nterest margn (NIM) and the return of assets (ROA). The NIM varable s defned as the net nterest ncome dvded by total assets. ROA s a rato computed by dvdng the net ncome over total assets. NIM and ROA have been used n most banks performance studes. ROA measures the proft earned per dollar of assets and reflect how well bank management use the bank s real nvestments resources to generate profts whle NIM s focused on the proft earned on nterest actvtes. Fve bank s characterstcs ndcators are used as nternal determnants of performance. They comprse the rato of overhead to total assets (OVERHEAD), the rato of equty captal to total assets (CAP), the rato of bank s loans to total assets (BLOAN), the rato of nonnterest bearng assets to total assets (NIBA) and the log of bank assets (LNSIZE). The rato of overhead to total assets s used to provde nformaton on varaton n bank costs over the bankng system. It reflects employment as well as the total amount of wages and salares. OVERHEAD s expected to have a negatve mpact on performance because effcent banks are expected to operate at lower costs. Bank loans are expected to be the man source of ncome and are expected to have a postve mpact on bank performance. Other thngs constant, the more deposts are transformed nto loans, the hgher the nterest margn and profts. However, f a bank needs to ncrease rsk to have a hgher loan-to-asset rato, then profts may decrease. In addton, as bank loans are the prncpal source of ncome, we expect that non nterest bearng assets mpact negatvely on profts. We also expect that the hgher equty-to-asset rato, the lower the need to external fundng and therefore hgher proftablty. It also a sgh that well captalzed bank face lower costs of gong bankrupt and then cost of fundng s reduced. The sze of the bank s also ncluded as an ndependent varable to account for sze related economes and dseconomes of scale. In most of the fnance lterature, the total assets of the banks are used as a proxy for bank sze. However, snce the other dependent varables n the
7 models such as ROA were deflated by total assets t would be approprate to log total assets before ncludng t n the models. To solate the effects of bank s characterstcs on performance, t s necessary to control for other factors that have been used as determnants of bank proftablty. Two sets of control varables are expected to nfluence banks performance: the macro-economc and the fnancal structure ndcators. Two macro-economc varables are used: nflaton (INF) and GDP per capta growth (GROWTH). Prevous studes have reported a postve assocaton between nflaton and bank proftablty. Hgh nflaton rates are generally assocated wth hgh loan nterest rates, and therefore, hgh ncomes. However, f nflaton are not antcpated and banks are sluggsh n adjustng ther nterest rates then there s a possblty that bank costs may ncrease faster than bank revenues and hence adversely affect bank proftablty. The GDP per captal growth s expected to have a postve mpact on bank s performance accordng to the well documented lterature on the assocaton between economc growth and fnancal sector performance. We also examne how the performance of the bankng sector s related to the relatve development of the banks and stock markets. Relatve sze (RSIZE) s calculated as the rato of the stock market captalzaton to total assets of depost money banks. In addton, we use stock market captalzaton dvded by GDP (MCAP) as a proxy of fnancal market development and as a measure of the sze of the equty market. The sze of the bankng sector (SBS) s measured by the rato of total assets of the depost banks to GDP and s ntended to measure the mportance of bank fnancng n the economy. MCAP and SBS may also ndcate the complementartes or substtutablty between bank and equty market fnancng. Both varables are expected to nfluence postvely bank performance. Bank concentraton (CONC) equals the fracton of bank assets held by the three largest commercal banks n the country. Most of the evdence on bank structure and performance s devoted to the US bankng ndustry, provdng generally conflctng results. Some evdence ndcates that banks n hghly concentrated local markets charge hgher rates on loans, pay lower rates on deposts, and are slower to reduce rates n response to Federal Reserve decrease n nterest rates than banks n less concentrated markets. Alternatvely, Smrlock (985) fnds that nterest rate spreads are narrower n concentrated bankng ndustry, whle Keeley and Zmmerman (985) fnd more mxed evdence. Berger (995) concludes that the relatonshp between bank concentraton and performance n the US depend crtcally on what other factors are held constant.
8 III.2 Econometrc modelng In ths study, fxed effects as well as random effects models are consdered. The fxed effects model s smpler to conduct and s defned accordng to the followng regresson model: () yt = α + β X t + εt =, L, N ; t =, L, T y t ndcates the dependent varables whle varables. X t determnes the vector of k explanatory α, =, L, N, are constant coeffcents specfc to each country. Ther presence assumes that dfferences across the consdered banks appear by means of dfferences n the constant term. These ndvdual coeffcents are estmated together wth the vector of coeffcentsβ. In order to valdate the fxed effects specfcaton, the queston s to prove, accordng to the emprcal applcaton, that the ndvdual coeffcents α, =, L, N, are not all equal. Ths corresponds to the followng jont null hypothess: (2) H α = L = α = α 0 : N It s rather the acceptaton of the alternatve hypothess whch s nterestng f we want to dfferentate between the stuatons n each bank consdered n the sample and confrm the exstence of sgnfcant heterogenety across banks. The approprate statstc of the test s a Fsher dstrbuted one wth N, hypothess and s defned as follows: N = T N k degrees of freedom under the null (3) SSR 0 SSR F = SSR N = T N k N where SSR 0 and SSR are, respectvely, the sum of squared resduals provded by the estmaton of the constraned model (under the null hypothess that s no ndvdual specfc coeffcents are consdered) and the sum of squared resduals relatve to the fxed effects model (equaton ()).
9 In the random effects case, the model s defned as follows: (4) yt = β X t + εt =, L, N ; t =, L, T where ε = µ + υ reflect the error component dsturbances. The ndvdual specfc effects t t 2 are random and dstrbuted normally ( IIN ( 0, σµ ) 2 terms υ whch are also dstrbuted normally ( υ IIN( 0 σ ) t µ. They are ndependent of the resdual t, υ. The estmaton of the model s conducted by the feasble generalzed least squares method. Frst, convergent estmates of 2 the varances σ 2 µ and σ υ are needed. They are obtaned by the followng formulae: (5) σˆ 2 υ = N T = t= N = ( υˆ υˆ ) T N k t. 2 N 2 (6) µ υ 2 2 σˆ = y βˆ. b X. σˆ N k = T ˆυ t are the resduals ssued from the estmaton of the fxed effects model (equaton ()) and ˆυ. are ndvdual means of these resduals over each tme perod relatve to each bank. Next, the frst term n equaton (6) ndcates the resduals ssued from the estmaton of the unt means regresson where ˆβ b are called the between estmators. The second stage conssts n the estmaton by ordnary least squares of the followng transformed regresson model: (7) yt + θˆ y ˆ ˆ. = β X t X + θ. + ε t + θ ε. wth: 2 (8) ˆ σˆ υ θ = =, L, N 2 2 σˆ + T σˆ υ µ Fnally, a Hausman specfcaton test s conducted n order to compare the two categores of specfcatons. It s proven that, under the null hypothess, the two estmates
10 (equatons () and (7)) could not dffer systematcally snce they are both consstent. So, the test can be based on the dfference. Under the null hypothess, the Hausman statstc s asymptotcally dstrbuted as ch-square wth k degrees of freedom and s wrtten down as follows: (9) ( ˆ ˆ ) ( ( ˆ H = β β Vˆ β ) Vˆ ( βˆ ) ( βˆ βˆ ) GLS F F GLS GLS F where β ˆ and βˆ are, respectvely, the estmates of the fxed effects and random effects F GLS models. Vˆ (.) are the correspondng varance-covarance matrces of these estmated coeffcents. IV. Emprcal fndngs Ths secton provdes emprcal evdence on the determnants of bank nterest margns and proftablty n the Tunsan Bankng ndustry. A broad descrpton of the characterstcs of the varables used n the study s gven n table whch reports ther statstcal means and standard devaton. Next, we report the results of regresson of the net nterest margn and return on asset varables, respectvely. The tables nclude several specfcatons, wth the basc specfcaton ncludng a set of bank characterstc varables. Subsequently, we add the macroeconomc varables and the fnancal structure varables. The estmaton technque s the balanced panel data regressons. <INSERT TB HERE> The frst bank-level varable s the equty varable (CAP). Buser et al. (98) argue n theory that banks generally have an optmal captalzaton rato and need to reman well-captalzed when they have a hgh franchse value. Berger (995) and Dermerguç-Kunt and Huzngua (999) fnd a postve relatonshp between bank performance and captalzaton. Consstent wth the prevous evdence, we confrm the postve relatonshp whether we use nterest margn or return on assets as a dependant varable and n all specfcatons. Ths may ndcate that well-captalzed banks support lower expected bankruptcy costs for themselves and ther costumers, whch reduce ther cost of captal.
11 Next, there s a postve and sgnfcant coeffcent on the overhead to assets rato varable (OVERHEAD) n the net nterest margn and return on assets equatons. The overhead varable has an estmated coeffcent of n the net nterest equaton, whch suggest that 87.8% of a bank s overhead costs s passed on ts depostors and lenders (n terms of lower depost rates and/or hgher lendng rates). In all net nterest margn equaton specfcatons, we see that the coeffcent on bank loans (BLOAN) s postve and sgnfcant. Ths notably reflects that bank loans are nterest-payng contrary to the cash, thereby ncreasng net nterest margn. Conversely, non-nterest bearng assets (NIBA) has no sgnfcant mpact on net nterest margn and return on assets, provng that bank proftablty stems manly from nterest bearng assets. Many researchers fnd that lttle cost savng can be acheved by ncreasng the sze of the bankng frm (Berger et al., 987) and others report sgnfcant scale economes for banks whose asset sze extends well nto the bllon range (Shaffer, 985 and many others). In table 2, the sze varable (LNSIZE) has mostly negatve and sgnfcant coeffcents on the net nterest margns equatons. Ths suggests that larger banks tend to lower margns and s consstent wth models that emphasze the negatve role of sze arsng from scale neffcences. The macroeconomc ndcators (.e. nflaton and economc growth) ncluded n column 2, 3 and 4 of table 2 and 3 are nsgnfcant n both spread and proft regressons. Ths may suggest that banks tend to not proft n nflatonary envronment. In addton, economc growth does not reflect any aspects of bankng regulatons and technology advance n the bankng sector omtted from the regressons. In table 2 and 3 we nclude two sets of fnancal market or structure varables. The frst set, nclude the market concentraton rato and the second, fnancal structure varables n the sense that they measure the mportance of bank and stock market fnance and the fnancal development. These varables among other thngs may reflect any complementary or substtutablty between bank and stock markets. Turnng to market concentraton, we see that the concentraton rato has a negatve and sgnfcant mpact only on net nterest margn. Ths result means that concentraton s less benefcal n terms of proftablty to the Tunsan commercal banks than competton.
12 The second set of fnancal structure varables has a more sgnfcant mpact on bank proft as opposed to bank margns. Accordng to Dermercuc-Kunt and Huzngua (999), ths may ndcate that these varables have a smaller ncdence on banks loan and depost costumers compared to the other clents. The stock market captalzaton to GDP rato enters the return on assets equaton postvely, whch suggest that a larger equty market per se gves banks the opportunty to ncrease ther proftablty. Ths may be due to the complementarty s effect between equty and debt fundng. As stock markets enlarge, mproved nformaton avalablty ncrease the potental number of customers to banks by easng the dentfcaton and montorng of borrowers. The ncrease of bank actvty contrbutes to enhance proftablty. In addton, the stock market captalzaton to bankng assets rato (RSIZE) enters the return on equty equaton postvely, whch suggest that a larger stock market relatve to the bankng sector ncrease bank profts and confrm the complementarty s effect. All the above results on fnancal structure mean that the move of the Tunsan fnancal system towards a more market based fnancal structure s proftable to the bankng ndustry. <INSERT TB 2 AND 3 HERE> V. Concluson Ths paper nvestgates the mpact of bank s characterstcs, fnancal structure and macroeconomc ndcators on bank s net nterest margns and proftablty n the Tunsan bankng ndustry for the perod. Frst, ndvdual bank characterstcs explan a substantal part of the wthn-country varaton n bank nterest margns and net proftablty. Hgh net nterest margn and proftablty tend to be assocated wth banks that hold a relatvely hgh amount of captal, and wth large overheads. Other mportant nternal determnants of bank s nterest margns bank loans whch have a postve and sgnfcant mpact. The sze has mostly negatve and sgnfcant coeffcents on the net nterest margns. Ths latter result may smply reflect scale neffcences. Second, the paper fnds that the macro-economc ndcators such nflaton and growth rates have no mpact on bank s nterest margns and proftablty.
13 Thrd, turnng to fnancal structure and ts mpact on bank s nterest margn and proftablty, we fnd that concentraton s less benefcal to the Tunsan commercal banks than competton. Stock market development has a postve effect on bank proftablty. Ths reflects the complementartes between bank and stock market growth. We have found that the dsntermedaton of the Tunsan fnancal system s favourable to the bankng sector proftablty. As a matter of polcy mplcatons, we need to draw several proposals at the bank and naton levels: - At the bank level, the mprovement of the proftablty of Tunsan commercal banks need to be conducted by a renforcement of the captalzaton of banks through natonal regulaton programs, by reducng the proporton of non-nterest bearng assets to the beneft of bank loans and by reducng the sze of large banks to optmal levels. - At the naton level, we need to reduce concentraton and spur competton, and to boost the development of the equty market n order to mprove bank s proftablty as bank and stock market was found to be complementary. References Abreu M. and V. Mendes Commercal bank nterest margns and proftablty: evdence from E.U countres, Porto Workng paper seres. Afanaseff T., P.Lhacer and M. Nakane. (2002). The determnants of bank nterest spreads n Brazl, Banco Central d Brazl Workng Papers. Angbazo, L Commercal bank net nterest margns, default rsk, nterest-rate rsk, and off-balance sheet bankng, Journal of Bankng and Fnance, Vol.2: Barajas, A., R. Stener, and N. Salazar Interest spreads n bankng n Colomba , IMF Staff Papers, Vol. 46: Bashr A Assessng the Performance of Islamc Banks: Some Evdence from the Mddle East, Paper presented at the ERF 8 th meetng n Jordan. Ben Naceur S. and M. Goaed The determnants of the Tunsan depost banks performance, Appled Fnancal Economcs, Vol.:37-9. Berger A The relatonshp between captal and earnngs n bankng, Journal of Money, Credt and Bankng, Vol.27:404-3.
14 Berger A., D Hanweck and D. Humphrey Compettve vablty n bankng: Scale, scope and product mx economes, Journal of Monetary Economcs, Vol.20: Buser, S., A. Chen, and E. Kane. 98. Federal depost nsurance, regulatory polcy, and optmal bank captal, Journal of Fnance, Vol. 35: Demerguç-Kunt A. and H. Huznga Determnants of commercal bank nterest margns and proftablty: Some nternatonal evdence, World Bank Economc Revew, Vol.3: Demerguç-Kunt A and H. Huznga. 200 Fnancal Structure and Bank Proftablty n Fnancal Structure and Economc Growth: A Cross-Country Comparson of Banks, Markets, and Development, Eds. Asl Demrguc-Kunt and Ross Levne. Cambrdge, MA: MIT Press, 200. Guru B., J. Staunton and Balashanmugam Determnants of commercal bank proftablty n Malaysa, Unversty Multmeda workng papers. Keeley M. and G. Zmmerman Competton for money market depost accounts, Federal Reserve Bank of San Francsco Economc Revew, Vol. :5-27. Molyneux P. and J. Thornton The determnants of European bank proftablty, Journal of Bankng and Fnance, Vol. 6: Shaffer S Competton, economes of scale, and dversty of frm szes, Appled Economcs, Vol.7: Smrlock M Evdence of the (Non)Relatonshp Between Concentraton and Proftablty n Bankng, Journal of Money, Credt, and Bankng, Vol.7:
15 Table. Descrptve statstcs of varables Varable name Mean Mnmum Maxmum Standard devaton NIM ROA CAP BLOAN NIBA OVERHEAD GROWTH INF SBS MCAP RSIZE CONC
16 Table 2. Determnants of Tunsan depost banks Net Interest Margns Constant CAP BLOAN NIBA OVERHEAD LNSIZE INF GROWTH CONC RSIZE SBS MCAP Regressons () (2) (3) (4) Nb. observatons Adj R² Haussman test : Random vs Fxed effects χ² P-values (0.797) 0.080*** (4.059) 0.02*** (3.342) (-0.267) 0.878*** (8.40) - (-.253) (0.045) 0.075*** (3.792) 0.02*** (3.396) - (-0.096) 0.848*** (7.557) -* (-.742) - (-.087) (0.70) T-Student are n parentheses. *, ** and *** ndcate sgnfcance levels of 0, 5 and percent respectvely *** (4.725) 0.033* (.647) 0.09*** (3.095) (0.46) 0.743*** (6.792) -0.03*** (-3.096) (.087) (0.279) -0.2*** (-5.446) (0.598) (0.089) *** (4.884) 0.034* (.7) 0.02*** (3.399) (0.660) 0.728*** (6.7) *** (-3.224) (.37) (0.466) -0.3*** (-6.05) (0.253)
17 Table 3. Determnants of Tunsan depost banks Return on Assets Constant CAP BLOAN NIBA OVERHEAD LNSIZE INF GROWTH CONC RSIZE SBS MCAP Regressons () (2) (3) (4) Nb. observatons Adj R² Haussman test : Random vs Fxed effects χ² P-values * (-.836) 0.055*** (4.596) (0.506) - (-0.55) 0.224*** (3.383) ** (2.335) (-0.4) 0.049*** (4.78) (0.72) (0.093) 0.94*** (2.84) (0.507) -* (-.706) (.397) T-Student are n parentheses. *, ** and *** ndcate sgnfcance levels of 0, 5 and percent respectvely. 0.07* (.745) 0.03** (2.373) (0.045) (-0.493) 0.36* (.927) - (-.6) - (-0.865) (.49) (-.593) (0.624) 0.04*** (2.782) (.467) 0.033** (2.54) (0.228) - (-0.237) 0.28* (.822) - (-0.972) - (-0.780) (.289) (-.227) 0.0*** (2.764)
Internatonal Journal of Busness and Economcs, 2011, Vol. 10, No. 2, 159-164 Can Auto Lablty Insurance Purchases Sgnal Rsk Atttude? Chu-Shu L Department of Internatonal Busness, Asa Unversty, Tawan Sheng-Chang
DO LOSS FIRMS MANAGE EARNINGS AROUND SEASONED EQUITY OFFERINGS? Fernando Comran, Unversty of San Francsco, School of Management, 2130 Fulton Street, CA 94117, Unted States, email@example.com Tatana Fedyk,
CORPORATE GOVERNANCE, ANALYST FOLLOWING AND FIRM VALUE Sulaman Mousell Damascus Unversty, Damascus, Syra and Khaled Hussaney* Strlng Unversty, Strlng, UK Ths paper s accepted for publcaton at: Corporate
An Alternatve Way to Measure Prvate Equty Performance Peter Todd Parlux Investment Technology LLC Summary Internal Rate of Return (IRR) s probably the most common way to measure the performance of prvate
REVIEW OF RISK MANAGEMENT CONCEPTS LOSS DISTRIBUTIONS AND INSURANCE Loss and nsurance: When someone s subject to the rsk of ncurrng a fnancal loss, the loss s generally modeled usng a random varable or
Hgh Correlaton between et Promoter Score and the Development of Consumers' Wllngness to Pay (Emprcal Evdence from European Moble Marets Ths paper shows that the correlaton between the et Promoter Score
Management Qualty, Fnancal and Investment Polces, and Asymmetrc Informaton Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: December 2007 * Professor of Fnance, Carroll School
Investment Management and Fnancal Innovatons, Volume 10, Issue 3, 2013 Ahmed F. Salhn (Egypt) The mpact of hard dscount control mechansm on the dscount volatlty of UK closed-end funds Abstract The mpact
Bank lablty structure, FDIC loss, and tme to falure: A quantle regresson approach Klaus Schaeck* October 2006 * Correspondng address: Unversty of Southampton, Hghfeld, Southampton SO17 1BJ, Unted Kngdom;
Summary of Analyss of Premum Labltes for Australan Lnes of Busness Emly Tao Honours Research Paper, The Unversty of Melbourne Emly Tao Acknowledgements I am grateful to the Australan Prudental Regulaton
Inequalty and The Accountng Perod Quentn Wodon and Shlomo Ytzha World Ban and Hebrew Unversty September Abstract Income nequalty typcally declnes wth the length of tme taen nto account for measurement.
Two Faces of Intra-Industry Informaton Transfers: Evdence from Management Earnngs and Revenue Forecasts Yongtae Km Leavey School of Busness Santa Clara Unversty Santa Clara, CA 95053-0380 TEL: (408) 554-4667,
Product Dversfcaton In Compettve R&D-Intensve Frms: An Emprcal Study Of The Computer Software Industry C. Catherne Chang, Elon Unversty, USA ABSTRACT Ths paper studes the effect of dversfcaton nto dfferent
Fnancal Mathemetcs 15 Mathematcs Grade 12 Teacher Gude Fnancal Maths Seres Overvew In ths seres we am to show how Mathematcs can be used to support personal fnancal decsons. In ths seres we jon Tebogo,
Drk Schoenmaker (Netherlands), Thjs Bosch (Netherlands) Is the home bas n equtes and bonds declnng n Europe? Abstract Fnance theory suggests that nvestors should hold an nternatonally dversfed portfolo.
CelersSystems DEFINING %COMPLETE IN MICROSOFT PROJECT PREPARED BY James E Aksel, PMP, PMI-SP, MVP For Addtonal Informaton about Earned Value Management Systems and reportng, please contact: CelersSystems,
The DAX and the Dollar: The Economc Exchange Rate Exposure of German Corporatons Martn Glaum *, Marko Brunner **, Holger Hmmel *** Ths paper examnes the economc exposure of German corporatons to changes
Locaton Factors for Non-Ferrous Exploraton Investments Irna Khndanova Unversty of Denver Ths paper analyzes the relatve mportance of geologcal potental and nvestment clmate for nonferrous mnerals exploraton
Management Qualty and Equty Issue Characterstcs: A Comparson of SEOs and IPOs Thomas J. Chemmanur * Imants Paegls ** and Karen Smonyan *** Current verson: November 2009 (Accepted, Fnancal Management, February
Is There A Tradeoff between Employer-Provded Health Insurance and Wages? Lye Zhu, Southern Methodst Unversty October 2005 Abstract Though most of the lterature n health nsurance and the labor market assumes
A Multstage Model of Loans and the Role of Relatonshps Sugato Chakravarty, Purdue Unversty, and Tansel Ylmazer, Purdue Unversty Abstract The goal of ths paper s to further our understandng of how relatonshps
Asa-Pacfc Journal of Fnancal Studes (2007) v36 n6 pp871-896 The Probablty of Informed Tradng and the Performance of Stock n an Order-Drven Market Ta Ma * Natonal Sun Yat-Sen Unversty, Tawan Mng-hua Hseh
THE RELATIONSHIP BETWEEN FINANCING POLICY AND FINANCIAL PERFORMANCE IN THE BRAZILIAN TEXTILE INDUSTRY Davd Ferrera Lopes Santos UNESP Unv. Estadual Paulsta Rod. Paulo Donato Castellane, s/n Jabotcabal-SP
Reportng Forms ARF 113.0A, ARF 113.0B, ARF 113.0C and ARF 113.0D FIRB Corporate (ncludng SME Corporate), Soveregn and Bank Instructon Gude Ths nstructon gude s desgned to assst n the completon of the FIRB
Corporate Real Estate Sales and Agency Costs of Manageral Dscreton Mng-Long Lee * Department of Fnance Natonal Yunln Unversty of Scence & Technology Yunln, Tawan Mng-Te Lee Department of Accountng Tamkang
Avalable onlne at http:// BAR, Curtba, v. 7, n. 3, art. 2, pp. 242-259, July/Sept. 2010 Emprcal Evdence of Trade Credt Uses of Brazlan Publcly Lsted Companes Rchard Sato * E-mal address: firstname.lastname@example.org
Analyss of Subscrpton Demand for Pay-TV Manabu Shshkura * Norhro Kasuga ** Ako Tor *** Abstract In ths paper, we wll conduct an analyss from an emprcal perspectve concernng broadcastng demand behavor and
PRIVATE SCHOOL CHOICE: THE EFFECTS OF RELIIOUS AFFILIATION AND PARTICIPATION Danny Cohen-Zada Department of Economcs, Ben-uron Unversty, Beer-Sheva 84105, Israel Wllam Sander Department of Economcs, DePaul
ADVERSE SELECTION IN INSURANCE MARKETS: POLICYHOLDER EVIDENCE FROM THE U.K. ANNUITY MARKET * Amy Fnkelsten Harvard Unversty and NBER James Poterba MIT and NBER * We are grateful to Jeffrey Brown, Perre-Andre
2.8 Usng Seres to Analyze Fnancal Stuatons: Present Value In the prevous secton, you learned how to calculate the amount, or future value, of an ordnary smple annuty. The amount s the sum of the accumulated
Competton, Effcency and Interest Rate Margns n Latn Amercan Bankng Georgos E. Chortareas a Unversty of Athens email@example.com Jesús G. Garza-García b Banco de Méxco firstname.lastname@example.org Clauda Grardone
Fnancal Instablty and Lfe Insurance Demand + Mahto Okura * Norhro Kasuga ** Abstract Ths paper estmates prvate lfe nsurance and Kampo demand functons usng household-level data provded by the Postal Servces
PROMEMORIA Datum June 01 Fnansnspektonen Författare Bengt von Bahr, Younes Elonq and Erk Elvers Stress test for measurng nsurance rsks n non-lfe nsurance Summary Ths memo descrbes stress testng of nsurance
Kel Insttute for World Economcs Duesternbrooker Weg 45 Kel (Germany) Kel Workng Paper No. Path Dependences n enture Captal Markets by Andrea Schertler July The responsblty for the contents of the workng
Searchng and Swtchng: Emprcal estmates of consumer behavour n regulated markets Catherne Waddams Prce Centre for Competton Polcy, Unversty of East Angla Catherne Webster Centre for Competton Polcy, Unversty
How to measure assocaton I: Correlaton. 1. Measurng assocaton usng correlaton and regresson We often would lke to know how one varable, such as a mother's weght, s related to another varable, such as a
Economcs Letters 76 (2002) 151 158 www.elsever.com/ locate/ econbase Gender dfferences n revealed rsk takng: evdence from mutual fund nvestors a b c, * Peggy D. Dwyer, James H. Glkeson, John A. Lst a Unversty
Toursm and trade n OECD countres. A dynamc heterogeneous panel data analyss María Santana-Gallego a, Francsco Ledesma-Rodríguez a, Jorge V. Pérez-Rodríguez b* a Facultad de Cencas Económcas y Empresarales,
The Impact of Stock Index Futures Tradng on Daly Returns Seasonalty: A Multcountry Study Robert W. Faff a * and Mchael D. McKenze a Abstract In ths paper we nvestgate the potental mpact of the ntroducton
Chapter 8 Group-based Lendng and Adverse Selecton: A Study on Rsk Behavor and Group Formaton 1 8.1 Introducton Ths chapter deals wth group formaton and the adverse selecton problem. In several theoretcal
Informaton and Management Scences Volume 18, Number 1, pp. 37-48, 2007 Effcency Test on Tawan s Lfe Insurance Industry- Usng X-Effcency Approach James C. Hao Tamkang Unversty R.O.C. Abstract Usng twenty-three
A research and educaton ntatve at the MT Sloan School of Management Understandng the mpact of Marketng Actons n Tradtonal Channels on the nternet: Evdence from a Large Scale Feld Experment Paper 216 Erc
Arful Hoque (Australa) World optons market effcency Abstract The World Currency Optons (WCO) maket began tradng n July 2007 on the Phladelpha Stock Exchange (PHLX) wth the new features. These optons are
The Onlne Journal of New Horzons n Educaton Volume 4, Issue 3 MargnalReturnstoEducatonForTeachers RamleeIsmal,MarnahAwang ABSTRACT FacultyofManagementand Economcs UnverstPenddkanSultan Idrs email@example.com
STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond Mke Hawkns Alexander Klemm THE INSTITUTE FOR FISCAL STUIES WP04/11 STAMP UTY ON SHARES AN ITS EFFECT ON SHARE PRICES Steve Bond (IFS and Unversty
WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY POLICY TRANSMISSION TO EQUITY MARKETS by Mchael Ehrmann and Marcel Fratzscher WORKING PAPER SERIES NO. 354 / MAY 2004 TAKING STOCK: MONETARY
TESTING FOR EVIDENCE OF ADVERSE SELECTION IN DEVELOPING AUTOMOBILE INSURANCE MARKET by Oksana Lyashuk A thess submtted n partal fulfllment of the requrements for the degree of Master of Arts n Economcs
SP 2005-02 August 2005 Staff Paper Department of Appled Economcs and Management Cornell Unversty, Ithaca, New York 14853-7801 USA Farm Savngs Accounts: Examnng Income Varablty, Elgblty, and Benefts Brent
14 The Ch-squared dstrbuton PSYCHOLOGICAL RESEARCH (PYC 304-C) Lecture 1 If a normal varable X, havng mean µ and varance σ, s standardsed, the new varable Z has a mean 0 and varance 1. When ths standardsed
HARVARD John M. Oln Center for Law, Economcs, and Busness ISSN 1045-6333 ASYMMETRIC INFORMATION AND LEARNING IN THE AUTOMOBILE INSURANCE MARKET Alma Cohen Dscusson Paper No. 371 6/2002 Harvard Law School
New evdence of the mpact of dvdend taxaton and on the dentty of the margnal nvestor LEONIE BELL AND TIM JENKINSON * * Economcs Department, Oxford Unversty and Saïd Busness School, Oxford Unversty and CEPR
Forecastng the Drecton and Strength of Stock Market Movement Jngwe Chen Mng Chen Nan Ye firstname.lastname@example.org email@example.com firstname.lastname@example.org Abstract - Stock market s one of the most complcated systems
4.02 Quz Solutons Fall 2004 Multple-Choce Questons (30/00 ponts) Please, crcle the correct answer for each of the followng 0 multple-choce questons. For each queston, only one of the answers s correct.
Chapter 5 Fnance The frst part of ths revew wll explan the dfferent nterest and nvestment equatons you learned n secton 5.1 through 5.4 of your textbook and go through several examples. The second part
The Analyss of Covarance ERSH 830 Keppel and Wckens Chapter 5 Today s Class Intal Consderatons Covarance and Lnear Regresson The Lnear Regresson Equaton TheAnalyss of Covarance Assumptons Underlyng the
WP/12/17 The Eastern Carbbean Currency Unon: Would a Fscal Insurance Mechansm Mtgate Natonal Income Shocks? Antono Lemus and Paul Cashn 2012 Internatonal Monetary Fund WP/12/17 IMF Workng Paper Mddle East
Evaluatng the Effects of FUNDEF on Wages and Test Scores n Brazl * Naérco Menezes-Flho Elane Pazello Unversty of São Paulo Abstract In ths paper we nvestgate the effects of the 1998 reform n the fundng
The Effects of Tax Rate Changes on Tax Bases and the Margnal Cost of Publc Funds for Canadan Provncal Governments Bev Dahlby a and Ergete Ferede b a Department of Economcs, Unversty of Alberta, Edmonton,
Testng for mperfect competton on EU depost and loan markets wth Bresnahan s market power model J.A. Bkker 1 February 2003 Research Seres Supervson no. 52 Secton Bankng and Supervsory Strateges, Drectorate
Returns to Experence n Mozambque: A Nonparametrc Regresson Approach Joel Muzma Conference Paper nº 27 Conferênca Inaugural do IESE Desafos para a nvestgação socal e económca em Moçambque 19 de Setembro
The Investor Recognton Hypothess: the New Zealand Penny Stocks Danel JP Cha, Department of Accountng and Fnance, onash Unversty, Clayton 3168, elbourne, Australa, and Danel FS Cho, Department of Fnance,
ASIAN ACADEMY of MANAGEMENT JOURNAL of ACCOUNTING and FINANCE AAMJAF, Vol. 7, No. 2, 79 102, 2011 KEY PERFORMANCE INDICATORS AND ANALYSTS' EARNINGS FORECAST ACCURACY: AN APPLICATION OF CONTENT ANALYSIS
August 7 - August 12, 2006 n Baden-Baden, Germany SPECIALIZED DAY TRADING - A NEW VIEW ON AN OLD GAME Vladmr Šmovć 1, and Vladmr Šmovć 2, PhD 1 Faculty of Electrcal Engneerng and Computng, Unska 3, 10000
he Lnk between rade and Income: Export Effect, Import Effect, or Both? huo Zhang Department of Economcs tate Unversty of New York at Fredona Jan Ondrch J. Davd chardson 1 Department of Economcs yracuse
Ethnc Chnese Networkng n Cross-border Investment: The Impact of Economc and Insttutonal Development Sarah Y. Tong * Hong Kong Insttute of Economcs and Busness Strateges The Unversty of Hong Kong Aprl 2003
Forecastng and Stress Testng Credt Card Default usng Dynamc Models Tony Bellott and Jonathan Crook Credt Research Centre Unversty of Ednburgh Busness School Verson 4.5 Abstract Typcally models of credt
The Racal and Gender Interest Rate Gap n Small Busness Lendng: Improved Estmates Usng Matchng Methods* Yue Hu and Long Lu Department of Economcs Unversty of Texas at San Antono Jan Ondrch and John Ynger
WORKING PAPER SERIES NO. 302 / FEBRUARY 2004 DEPOSIT INSURANCE, MORAL HAZARD AND MARKET MONITORING by Rent Gropp and Jukka Vesala WORKING PAPER SERIES NO. 302 / FEBRUARY 2004 DEPOSIT INSURANCE, MORAL HAZARD
J. Rsk Fnancal Manag. 2015, 8, 127-149; do:10.3390/jrfm8010127 Artcle OPEN ACCESS Journal of Rsk and Fnancal Management ISSN 1911-8074 www.mdp.com/journal/jrfm Are Women More Lkely to Seek Advce than Men?
Hedge Fund Investng n the Aftermath of the Crss: Where dd the Money Go? Gudo Bollger, Ivan Gudott, Florent Pochon Ths verson: July 2010 Abstract Ths paper nvestgates the determnants of hedge fund flows
Cahers de la Chare Santé The nfluence of supplementary health nsurance on swtchng behavour: evdence from Swss data Auteurs : Brgtte Dormont, Perre-Yves Geoffard, Karne Lamraud N 4 - Janver 2010 1 The nfluence
MARCH 211 C.D. Howe Insttute WORKING PAPER FISCAL AND TAX COMPETITIVENESS The Effects of Tax Rate Changes on Tax Bases and the Margnal Cost of Publc Funds for Provncal Governments Bev Dahlby Ergete Ferede
OPTIMAL CAPITAL UTILIZATION BY FINANCIAL FIRMS: EVIDENCE FROM THE PROPERTY-LIABILITY INSURANCE INDUSTRY By J. Davd Cummns* Gregory P. Nn June 29, 2001 J. Davd Cummns* Gregory P. Nn The Wharton School The
Factors Affectng Outsourcng for Informaton Technology Servces n Rural Hosptals: Theory and Evdence Bran E. Whtacre Department of Agrcultural Economcs Oklahoma State Unversty email@example.com J.
Small and medum-szed enterprses, bank relatonshp strength, and the use of venture captal Allen N. Berger a,b,c and Klaus Schaeck d,* a Moore School of Busness, Unversty of South Carolna, Columba, SC 29208,
CHAPTER 14 MORE ABOUT REGRESSION We learned n Chapter 5 that often a straght lne descrbes the pattern of a relatonshp between two quanttatve varables. For nstance, n Example 5.1 we explored the relatonshp
CONSUMER LINES OF CREDIT: THE CHOICE BETWEEN CREDIT CARDS AND HELOCS OSU Economcs Workng Paper WP04-04 I. INTRODUCTION In the U.S. today consumers have a choce of two major types of lnes of credt credt