Relative profitability and stock market performance of listed commercial banks on the Athens Exchange: A non-parametric approach

Tsolas, IE

dc.contributor.author	Tsolas, IE	en
dc.date.accessioned	2014-03-01T01:36:42Z
dc.date.available	2014-03-01T01:36:42Z
dc.date.issued	2011	en
dc.identifier.issn	1471-678X	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/21406
dc.subject	commercial banks	en
dc.subject	data envelopment analysis	en
dc.subject	Greece	en
dc.subject	profitability efficiency	en
dc.subject	stock market performance	en
dc.subject.other	Commercial bank	en
dc.subject.other	Computational statistics	en
dc.subject.other	Data envelopment	en
dc.subject.other	Efficiency levels	en
dc.subject.other	Greece	en
dc.subject.other	Market values	en
dc.subject.other	Model performance	en
dc.subject.other	Nonparametric approaches	en
dc.subject.other	Output variables	en
dc.subject.other	Real problems	en
dc.subject.other	Size scale	en
dc.subject.other	Stock market	en
dc.subject.other	Stock market performance	en
dc.subject.other	Two-dimension	en
dc.subject.other	Two-step procedure	en
dc.subject.other	Data envelopment analysis	en
dc.subject.other	Efficiency	en
dc.subject.other	Finance	en
dc.subject.other	Profitability	en
dc.subject.other	Commerce	en
dc.title	Relative profitability and stock market performance of listed commercial banks on the Athens Exchange: A non-parametric approach	en
heal.type	journalArticle	en
heal.identifier.primary	10.1093/imaman/dpq017	en
heal.identifier.secondary	http://dx.doi.org/10.1093/imaman/dpq017	en
heal.language	English	en
heal.publicationDate	2011	en
heal.abstract	The purpose of this paper is to evaluate the performance of a sample of thirteen commercial banks listed on the Athens Exchange by applying a two-step procedure. In the first step, data envelopment analysis (DEA) is used to model performance in two dimensions: profitability efficiency and efficiency in market value generation. In the second step, a tobit model is bootstrapped in order to identify the drivers of performance. The contribution of this paper to the literature is twofold: to improve on the existing methods employing a new variant of DEA profitability approach by using burden as an (undesirable) output variable in modelling profitability efficiency and to better explain (from a computational statistics perspective) DEA efficiency levels inboth dimensions examined by employing a bootstrapped tobit model. Performance inefficiency is uncovered in both dimensions, but the real problem of inefficiency of the sampled banks is the lower level of performance in market value generation, rather than profitability. Results do not point out positive links between profitability efficiency and performance in the stock market. Relatively large banks exhibit better performance on profitability; most of them reached their optimum size scale, whereas they tend to have the worst performance with respect to the stock market. Some smaller banks seem to have some prospects in market value generation, while performance in the stock market can be explained by cost to income ratio. © 2011 The authors. Published by Oxford University Press on behalf of the Institute of Mathematics and its Applications. All rights reserved.	en
heal.publisher	OXFORD UNIV PRESS	en
heal.journalName	IMA Journal Management Mathematics	en
dc.identifier.doi	10.1093/imaman/dpq017	en
dc.identifier.isi	ISI:000296025200002	en
dc.identifier.volume	22	en
dc.identifier.issue	4	en
dc.identifier.spage	323	en
dc.identifier.epage	342	en