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2011 | 5 | nr 4 | 18--30
Tytuł artykułu

The Short and Long Term Performance Persistence in the Central European Banking Industry

Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
This article investigates the scale of performance persistence in the Central European banking industry. Contrary to the existing literature, we test not only for the short-term performance persistence but we propose also a novel method of analyzing the long-term persistence. Using an extensive dataset, covering the 1992-2009 period, we establish that banks' results are strongly persistent in two-years sub-periods as well as in the long-run. Moreover, we find that the strength of studied phenomenon is not significantly influenced by the macroeconomic environment, banks size and capital base and country-specific factors. (original abstract)
Rocznik
Tom
5
Numer
Strony
18--30
Opis fizyczny
Twórcy
  • Kozminski University, Warsaw, Poland
  • Warsaw School of Economics, Poland
  • BGŻ SA
Bibliografia
  • 1. Agarwal, V., & Naik, N. Y. (2000). Multi-period performance persistence analysis of hedge funds. Journal of Financial and Quantitative Analysis, 35(3), 327-342.
  • 2. Agostino, M., Leonida, L., & Trivieri, F. (2005). Profit persistence and ownership: Evidence from the Italian banking sector. Applied Economics, 37(14), 1615-1621.
  • 3. Bao, J., & Edmans, A. (2009). Do Investments Banks Have Skill? Performance Persistence of M&A Advisors. Wharton Financial Institutions Center Working Paper, 9-21.
  • 4. Berger, A. N., Bonime, S. D., Covitz, D. M., & Hancock, D. (2000). Why are bank profits so persistent? The roles of product market competition, informational opacity, and regional macroeconomic shocks. Journal of Banking and Finance, 24, 1203-1235.
  • 5. Bers, M. K., & Madura, J. (2000). Why does performance persistence vary among closed-end funds? Journal of Financial Services Research, 17(2), 127-147.
  • 6. Brown, S. J., & Goetzmann, W. N. (1995). Performance Persistence. The Journal of Finance, 50(2), 679-698.
  • 7. Capocci, D., & Hubner, G. (2004). Analysis of hedge fund performance. Journal of Empirical Finance, 11(1), 55-89.
  • 8. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
  • 9. Carpenter, J. N., & Lynch, A. W. (1999). Survivorship Bias and Attrition Effects in Measures of Performance Persistence. Journal of Financial Economics, 54(3), 337-374.
  • 10. Cebenoyan, A. S., Cooperman, E. S., & Register, C. A. (2004). S&L performance persistence, moral hazard and market discipline. Managerial Finance, 30(9), 56-69.
  • 11. Chevalier, J., & Ellison, G. (1996). Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance. NBER Working Paper Series, 5852.
  • 12. Collinet, L., & Firer, C. (2003). Characterising persistence of performance amongst South African general equity unit trust. Omega, 31(6), 2003, 523-538.
  • 13. Cuthbertson, K., Nitzsche, D., & O'Sullivan, N. (2008). UK mutual fund performance: Skill or luck? Journal of Empirical Finance, 15(4), 613-634.
  • 14. Deaves, R. (2004). Data-conditioning biases, performance, persistence and flows: The case of Canadian equity funds. Journal of Banking and Finance, 28(3), 673-694.
  • 15. Droms, W. G., & Walker, D. A. (2006). Performance persistence of fixed income mutual funds. Journal of Economics and Finance, 30(3), 347-355.
  • 16. Du, D., Huang, Z., & Blanchfield, P. J. (2008). Do fixed income mutual fund managers have managerial skills? The Quarterly Review of Economics and Finance, 49(2), 378-397.
  • 17. Elton, E. J., Gruber, M. J., & Blake, C. R. (1996). The persistence of risk-adjusted mutual fund persistence. Journal of Business, 69(2), 133-157.
  • 18. Filip, D. (2011). Performance persistence of equity funds in Hungary. Contemporary Economics, 5(1), 18-34.
  • 19. Fletcher, J., & Forbes, D. (2002). An Exploration of the persistence of UK unit trust performance. Journal of Empirical Finance, 9(5), 475-493.
  • 20. Goddard, J., Liu, H., Molyneux, P., & Wilson, J. O. S. (2011). The persistence of bank profit. Journal of Banking and Finance, forthcoming.
  • 21. Huij, J., & Verbeek, M. (2007). Cross-sectional learning and short-run persistence in mutual fund performance. Journal of Banking and Finance, 31(3), 973-997.
  • 22. Jackowicz, K. (2006). Powtarzalność wyników gospodarowania sektora bakowego w Polsce. Problemy Zarządzania, 4, 7-18.
  • 23. Jackowicz, K. (2009). Determinants of winning and losing persistence in the Polish banking sector. Bank i Kredyt, 40(3), 5-23.
  • 24. Jackowicz, K., & Filip, D. (2009). Powtarzalnośćwyników funduszy inwestycyjnych w Polsce. Materiały i Studia, Narodowy Bank Polski, 236.
  • 25. Jackowicz, K., & Kozłowski, Ł. (2008). Analiza dynamiki rozkładów rentowności banków komercyjnych w Polsce z użyciem jądra stochastycznego. In L. Dziawgo (Ed.), Współczesne finanse. Stan i perspektywy rozwoju bankowości (pp. 325-334). Toruń: Wydawnictwo Naukowe Uniwersystetu Mikołaja Kopernika.
  • 26. Jackowicz, K., & Kozłowski, Ł. (2010). Zarządzanie wynikiem finansowym w bankach z Europy Środkowo-Wschodniej związane z progowymi wartościami rentowności. Master of Businees Administration, Akademia Leona Koźmińskiego, 106, 25-46.
  • 27. Jan, Y.-C., & Hung, M.-W. (2004). Short-run and long-run persistence in mutual funds. Journal of Investing, 13(1), 67-71.
  • 28. Kosowski, R., Zimmermann, A., White, H., & Wermers, R. (2006). Can mutual fund "stars" really pick stocks? New evidence from a bootstrap analysis. Journal of Finance, 61(6), 2551-2595.
  • 29. Neely, M. C., & Wheellock, D. C. (1997). Why does bank performance vary across states? Federal Reserve Bank of St. Louis Review, 79(2), 27-40.
  • 30. Philpot, J., Heath, D., & Rimbey, J. (2000). Performance persistence and management skill in non-conventional bond mutual funds. Financial Services Review, 9(3), 247-258.
  • 31. Polwitoon, S., & Tawatnuntachai, O. (2006). Diversification benefits and persistence of US - based global bond funds. Journal of Banking and Finance, 30(10), 2767-2786.
  • 32. Prater, L., Berlin, W. J., & Henker, T. (2004). Mutual fund characteristics, managerial attributes and fund performance. Review of Financial Economics, 13, 305-326.
  • 33. Quah, D. (1997). Empirics for growth and sistribution; stratification, polarization and convergence clubs. Centre for Economic Performance Discussion Paper, 324.
  • 34. Roland, K. P. (1997). Profit persistence in large US bank holding companies: An empirical investigation. Comptroller of the Currency Economics Working Paper, 97-2.
  • 35. Silva, F., Cortem, M. C., & Armada, M. R. (2005). The Persistence of European bond fund performance: Does conditioning information matter? International Journal of Business, 10(4), 341-361.
  • 36. Steri, R., Giordano, M., & Viviani, D. (2009). The Italia hedge funds industry: An empirical analysis of performance and persistence. Journal of Multinational Financial Management, 19(1), 75-91.
  • 37. Tonks, I. (2005). Performance Persistence of Pension-Fund Managers. The Journal of Business, 78(5), 1917-1942.
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.ekon-element-000171259403

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