کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
985963 | 1480906 | 2011 | 12 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Efficiency under quantile regression: What is the relationship with risk in the EU banking industry?
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
This study estimates cost efficiency under a quantile regression framework. Our purpose is to investigate whether cost efficiency differs across quantiles of the conditional distribution. Efficiency scores are derived using the distribution-free approach. Results show that for higher conditional distributions, efficiency scores are lower. In a second stage analysis, we examine the relationship between efficiency and risk, measured as distance to default. Cross section regressions show that the higher the risk, the lower the level of efficiency. The magnitude and the significance of the coefficient of the distance to default increases for conditional distributions associated with lower levels of efficiency.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Review of Financial Economics - Volume 20, Issue 2, May 2011, Pages 84–95
Journal: Review of Financial Economics - Volume 20, Issue 2, May 2011, Pages 84–95
نویسندگان
Anastasia I. Koutsomanoli-Filippaki, Emmanuel C. Mamatzakis,