José Luis Gallizo

Share prices and accounting variables: a hierarchical Bayesian analysis

Purpose – The purpose of this paper is to examine the relevance of accounting variables to explain the evolution of a companys share price; and more specifically, we analyse the influence of cash flow and book value on the evolution of the share price, taking into account certain covariates which have traditionally been regarded as helping explain this effect. Design/methodology/approach – A hierarchical Bayesian model is used to analyse the relevance of the accounting figures considered by the markets. Findings – The empirical results obtained show that the firm size and the speed of asset turnover are a companys most relevant features, which is indirectly consistent with the theory of company life cycles. Originality/value – The empirical results obtained are of value to support the validity of company life cycle theory.

European banking integration: is foreign ownership affecting banking efficiency?

The aim of this study is to analyze how European integration and, especially, changes in ownership, has affected banking efficiency in Central and Eastern European countries which have recently experimented this process more intensely. Using a stochastic frontier approach, applied to panel data, we have estimated bank efficiency levels in a sample of 189 banks from 12 countries during the period 2000 to 2008 and we have analyzed the influence of some bank characteristics on these efficiency levels. The results show that European integration has significantly improved the cost efficiency of banks in these countries, but profit efficiency has significantly decreased. We have found very small differences between different ownership types and only a very small impact of foreign ownership on cost efficiency, showing that the entry of foreign ownership is not enough to explain the significant variations in banking efficiency after the accession.

Bayesian inference in a matrix normal dynamic linear model with unknown covariance matrices

In this paper, we consider the problem of estimating the parameters of a matrix normal dynamic linear model when the variance and covariance matrices of its error terms are unknown and can be changing over time. Given that the analysis is not conjugate, we use simulation methods based on Monte Carlo Markov chains to estimate the parameters of the model. This analysis allows us to carry out a dynamic principal components analysis in a set of multivariate time series. Furthermore, it permits the treatment of series with different lengths and with missing data. The methodology is illustrated with two empirical examples: the value added distribution of the firms operating in the manufacturing sector of the countries participating in the BACH project, and the joint evolution of a set of international stock-market indices.

The Baltic banking system in the enlarged European Union: the effect of the financial crisis on efficiency

ABSTRACT The main objective of this study is to analyse the evolution of banking efficiency in the Baltic countries after their accession to the EU and during the financial crisis, and to check whether there are significant differences between these countries as a consequence of their particular characteristics. To that end, we have estimated the evolution of cost and profit efficiency in the Baltic countries in the context of the enlarged EU during the period 2000–2013 using Bayesian stochastic frontier models. Our results show the greater robustness of Estonian banking in terms of profits during the financial crisis in comparison to their neighbours. Additionally, Baltic banking has recovered its profit efficiencies very quickly after the financial crisis. However, cost efficiency is still at low levels in line with the other European countries.

Eficiencia bancaria en costes. ¿existe convergencia en la UE ampliada?

El objetivo del estudio es analizar la existencia de un proceso de convergencia en materia de eficiencia bancaria en costes entre los nuevos miembros de la UE y los países de la UE-15. Para ello se estiman los niveles de eficiencia de una muestra de 27 países europeos en el periodo 2000–2008 y se analiza su convergencia β y σ. La estimación de dichos niveles se lleva a cabo mediante técnicas bayesianas de estimación y comparación de modelos aplicadas a diversos modelos de frontera estocástica (SFA) aplicados a datos de panel no balanceado. Los modelos comparados difieren en las hipótesis sobre la frontera y la distribución de los términos de eficiencia, todo lo cual dota al estudio realizado de un mayor grado de robustez. Los resultados obtenidos ponen de manifiesto la existencia de un proceso de convergencia en la UE ampliada. Además, mediante un modelo de ajuste parcial se observa que, si bien los niveles de eficiencia han tendido a aumentar con la integración europea, dicha convergencia no se produce hacia la mejor práctica posible.