Bank Risk - Return Efficiency and Bond Spread: Is There Evidence of Market Discipline in Europe - Université de Limoges Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2013

Bank Risk - Return Efficiency and Bond Spread: Is There Evidence of Market Discipline in Europe

Résumé

The aim of this paper is to empirically investigate the relationship between bank risk-return efficiency and bond spread priced in the primary market. Our study is based on a sample of European listed banks for the period 1996-2011. Applying a parametric frontier based on the Battese and Coelli (1993) model, we can compute risk-return efficiency score for each bank at each date. Compared to previous studies, we investigate the effectiveness of market discipline taking into account not only risk and return independently, but also the level of profitability for a given level of risk on the pricing of bond spread. We find that, over the complete sample period, bondholders require a higher spread from more inefficient banks. A closer analysis actually shows that market discipline is not effective during sound economic period, but market investors comes to discipline banks during distressed economic period by pricing lower spread to more efficient banks.
Fichier principal
Vignette du fichier
nys_al_2013_march.pdf (2.11 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...

Dates et versions

hal-00916717 , version 1 (10-12-2013)

Identifiants

  • HAL Id : hal-00916717 , version 1

Citer

Cécile Casteuble, Emmanuelle Nys, Philippe Rous. Bank Risk - Return Efficiency and Bond Spread: Is There Evidence of Market Discipline in Europe. 2013. ⟨hal-00916717⟩
160 Consultations
273 Téléchargements

Partager

Gmail Facebook X LinkedIn More