Seyed Mehdian

A Nonparametric Approach to Measurement of Efficiency and Technological Change: The Case of Large U.S. Commercial Banks

The purpose of this paper is to derive the efficiency measures and the rate of technological change for a sample of large U.S. commercial banks by employing a nonparametric technique. This technique is used to construct a multiproduct production frontier relative to which the efficiency measures of the banks in the sample are calculated and the displacement of which over time provides a measure of the rate of technological change. The empirical results indicate that the relevant frontier shifted inward between 1980 and 1985 reflecting a high pace of technological advancement achieved by the banks in the sample. The pace varied significantly across the banks with some banks even regressing over time.

The Comparative Efficiency Performance of Small and Large US Commercial Banks in the Pre- and Post-Deregulation Eras

The purposes of this paper are twofold: first, to employ a flexible non-parametric approach to contrast the productive efficiency of a sample of small and large banks in order to examine the relationship between size and productive performance in the banking industry. Second, to investigate whether the relative efficiency performance of small and large banks has changed following the changes in the banking environment in the 1980s and to contrast the rate of technological change achieved by these two groups of banks over this time period. The findings based on group-specific frontiers suggest that in the pre-deregulation environment small banks were more efficient than the large banks while in the deregulated environment small and large banks were equally efficient. Moreover, the dispersion in the efficiency measures of the small banks is found to have increased substantially while that of the large banks changed little over the sample period.

An examination of cost structure and production performance of commercial banks in Singapore

Abstract This paper uses a parametric approach in the framework of a translog cost function and a non-parametric approach in the framework of linear programming to examine production performance and cost structure of a sample of Singaporean commercial banks. The results of the parametric methodology suggest that the average cost curve of these banks is U shaped and there are economies of scale for small and medium-size banks. Further analysis provides evidence of economies of scope for all banks regardless of their size. The non-parametric results indicate that the Singaporean banks could have reduced cost by 43% had they all been overall efficient. The sources of this cost inefficiency seem to be caused equally by allocative and technical inefficiencies.

Productive Efficiency Performance of Minority and Nonminority-Owned Banks: A Nonparametric Approach

This study examines the efficiency performance of the minority-owned banks (MOBS) as multiproduct firms relative to that of the nonminority banks (NMOBs) using a highly flexible nonparametric approach. Since MOBS and NMOBs employ distinct technologies the efficiency indices for the two groups are derived relative to their respective group-specific frontiers and are contrasted to shed light on the ownership-efficiency relationship. The MOB sample is then disaggregated and the intra-group efficiency differentials are investigated. The findings support the hypothesis that abstracting the regional, regulatory, size, and maturity characteristics of banks, efficiency differentials between MOBS and NIMOBs are statistically insignificant.

The Reversal of the Monday Effect: New Evidence from US Equity Markets

This article re-examines the Monday effect in the US stock market from 1964-1999 using daily returns from three large-cap indexes and two small-cap indexes. In the period before 1987, Monday returns are significantly negative in all five US stock indexes, confirming previous empirical findings. In the post-1987 period, we uncover a significant reversal of the Monday effect in the large-cap indexes (NYSE, S&38;P500 and DJCOMP), since Monday returns are significantly positive. Furthermore, significant differences in the persistence and reversal of the Monday effect are found between large-cap and small-cap stock indexes. Copyright Blackwell Publishers Ltd 2001.

The adverse impacts of local historic designation: The case of small apartment buildings in Philadelphia

This paper examines the sales effects of local historic preservation. Using the hedonic framework our study shows that small historic apartment buildings experienced a 24% reduction in price compared to nonlocally certified properties. Our variable for federal historic districts, however, produced statistically insignificant results. The results suggest that historic control (as practiced in Philadelphia) is confiscatory. The study illustrates an outcome of public regulation that impinges on private property rights.

Anomalies in US equity markets: a re-examination of the January effect

This study investigates the January effect in US equity markets using three market indexes from 1964–1998: Dow Jones Composite, NYSE Composite and the SP500. Chow tests for structural stability indicate that the estimated parameters in an equation testing for monthly seasonal effects in the stock market are not stable over time. In the 1964–1987 sample period it is found that January returns are positive and significant in all three stock market indexes. After 1987, January returns are positive but not statistically different from zero. The results therefore provide no statistical support for the January effect in US equity markets in the post-1987 market crash period.

An empirical test of association between production and financial performance: the case of the commercial banking industry

Banks choose the asset and liability mix of their portfolio in order to achieve maximum efficiency and optimal financial position. The purpose of this paper is to investigate the relationship between a banks financial performance, measured by accounting-based ratios, and production performance proxied by efficiency indexes. While the existing literature examines financial ratios and efficiency issues in isolation, it is shown that a significant association between financial and production performances does exist for large commercial banks and that this association is time-sensitive. This finding suggests that efficiency indexes should be considered as a supplement to financial ratios in on-site examination in order to monitor the performance of banking firms more effectively.

Efficiency change, technological progress and productivity growth of private, public and foreign banks in India: evidence from the post-liberalization era

This study uses a nonparametric frontier approach to examine the effects of the ownership on the efficiency, efficiency change, technological progress and productivity growth of the Indian banking industry over the period 1998 to 2003. A host of best practice frontiers are constructed relative to which the performance of foreign-owned banks, private-owned banks and public-owned banks operating in India are assessed. The results indicate that foreign banks are significantly more efficient when compared to other banks, i.e. the privately-owned and publicly owned-banks. The findings also provide evidence to indicate that a large number of Indian banks operate below their optimal scale. Specifically, the Indian banking industry can be characterized by the existence of very few large, but inefficient publicly-owned banks along with many small size banks that would be able to improve their cost efficiency by expanding their scale of operations. Therefore, in order to assist the Indian banking system to function more efficiently and be more competitive in the global marketplace, the Indian policy makers should create policies to encourage private ownership of banks, facilitate the entry of foreign banks and promote mergers and acquisitions among Indian banks. Such policies will help Indian banks increase their scale of operations and improve their cost efficiency.

An Examination of the Calendar Anomalies in the Romanian Stock Market

Abstract The main objective of this paper is to investigate the presence of the-day-of-the week and the-month-of-the-year effects in the Romanian equity market, using Bucharest Stock Exchange returns between 2000 and 2011. While we observe the presence of Thursday effect in Romanian equity market, we do not find any traditional Monday or January effect for the entire sample period. Furthermore, we observe the January effect during pre-crisis period. However, the subsample analysis provides very different results, perhaps due to increasing degree of capital market maturity, EU accession and other important events, such as the financial crisis. It follows that the Romanian equity market is reasonably efficient, where prices reflect all publicly available information and no trading rule and market timing can be used to generate abnormal returns.