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Bank risk-return efficiency, ownership structure and bond pricing : evidence from western european listed banks

Abstract : This thesis consists of three empirical essays with an emphasis on bank risk-return efficiency and bond pricing. Chapter 1 aims at a better understanding of the quality of banks’ risk management by providing, for a set of European listed banks, a measure of each bank’s relative efficiency in terms of risk-return trade-off. We show that the level of bank risk-return efficiency is quite stable in the short term, whereas in the long term low performing banks are not condemned to remain inefficient. We also identify some common characteristics for the most risk-return efficient banks, which are assigned, by rating agencies, a more attractive financial strength rating. In chapter 2, we investigate the determinants of bank bond spread and we show that bank managerial ability, proxied by bank risk-return efficiency, improves the explanation of the default premium required by bondholders. Our results underline that standard default risk measures do not entirely reflect the default premium and banks’ managerial ability turns out to be a determinant of bondholders’ confidence in the measure of the effective level of bank default. Chapter 3 examines the effect of divergence between control rights and cash-flow rights of ultimate owners in pyramid ownership structure on the pricing of banking bonds. Whereas before the financial crisis such a divergence does not affect bank bond yield spread, during downturns bondholders require a lower spread from banks controlled by an ultimate owner with excess control rights. The investigation on more restrictive subsets underlines that this result is only significant when banks experience a high level of default risk.
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Submitted on : Monday, December 14, 2015 - 1:13:06 PM
Last modification on : Sunday, October 25, 2020 - 7:04:29 AM
Long-term archiving on: : Tuesday, March 15, 2016 - 1:11:24 PM


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  • HAL Id : tel-01242955, version 1


Cécile Casteuble. Bank risk-return efficiency, ownership structure and bond pricing : evidence from western european listed banks. Economics and Finance. Université de Limoges, 2015. English. ⟨NNT : 2015LIMO0080⟩. ⟨tel-01242955⟩



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