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Efficiency under quantile regression: what is the relationship with risk in the EU banking industry?
journal contribution
posted on 2023-06-08, 12:01 authored by Emmanuel C Mamatzakis, Anastasia I Koutsomanoli-FilippakiThis 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.
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Publication status
- Published
Journal
Review of Financial EconomicsISSN
1058-3300Publisher
ElsevierExternal DOI
Issue
2Volume
20Page range
84-95Department affiliated with
- Business and Management Publications
Full text available
- No
Peer reviewed?
- Yes
Legacy Posted Date
2012-07-05Usage metrics
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