University of Sussex
Browse

File(s) not publicly available

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-Filippaki
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.

History

Publication status

  • Published

Journal

Review of Financial Economics

ISSN

1058-3300

Publisher

Elsevier

Issue

2

Volume

20

Page range

84-95

Department affiliated with

  • Business and Management Publications

Full text available

  • No

Peer reviewed?

  • Yes

Legacy Posted Date

2012-07-05

Usage metrics

    University of Sussex (Publications)

    Categories

    No categories selected

    Exports

    RefWorks
    BibTeX
    Ref. manager
    Endnote
    DataCite
    NLM
    DC