Czy efektywność znajduje odzwierciedlenie w wycenie rynkowej banków w Polsce?

• Autorzy: Kisielewska M.

Warianty tytułu

EN

Bank and bank branch performance in dea models

• Języki publikacji: PL

Abstrakty

PL

Celem niniejszego artykułu jest zbadanie siły i charakteru relacji pomiędzy efektywnością a wyceną lynkową banków. Badaniu poddano 10 największych banków komercyjnych w Polsce w okresie 1995-2003: Bank Gospodarki Żywnościowej, Bank Przemysłowo-Handlowy, Bank Rozwoju Eksportu, Bank Zachodni WBK, Bank Handlowy w Warszawie, ING Bank Śląski, Kredyt Bank, Bank Millennium, Bank Polska Kasa Opieki oraz Powszechna Kasa Oszczędności Bank Polski. Efektywność oszacowano nieparametryczną metodą analizy granicznej, tj. Data Envelopment Analysis (DEA). Następnie za pomocą Indeksu produktywności Malmquista obliczono roczne zmiany otrzymanych szacunków efektywności, które porównano z rocznymi zwrotami tych z analizowanych banków, które w badanym okresie były notowane na Warszawskiej Giełdzie Papierów Wartościowych. Wyniki nie wskazują jednoznacznie na istnienie stabilnych w czasie związków pomiędzy badanymi zmiennymi. Jednakże analizy prowadzone odrębnie w wybranych latach (1996, 1997,1999, 2000, 2001) wykazują bardzo silne zależności pomiędzy efektywnością i zwrotami z akcji, co zdaje się potwierdzać logiczną tezę, że banki bardziej efektywne są drożej wyceniane przez rynek.

EN

This paper aims to examine relationship between efficiency and stock returns for ten biggest polish commercial banks: Bank Gospodarki Żywnościowej, Bank Przemysłowo-Handlowy, Bank Rozwoju Eksportu, Bank Zachodni WBK, Bank Handlowy w Warszawie, ING Bank Śląski, Kredyt Bank, Bank Millennium, Bank Polska Kasa Opieki oraz Powszechna Kasa Oszczędności Bank Polski. The study horizon spans over 9 years: 1995-2003. Efficiency measures have been based on one of frontier efficiency methods, namely Data Envelopment Analysis (DEA). Then using means of Malmquist Index efficiency changes have been calculated between adjacent periods and compared to stock returns for those banks from the sample which were listed on Warsaw Stock Exchange. Results do not indicate any clear relationship between efficiency and stock returns which would be stable for the whole time period under investigation. However it should be emphasised that for some of the periods analysed separately (1996, 1997, 1999, 2000, 2001) the correlation is very strong. This seems to suggest that efficient banks are recognized by investors and thus valued higher than their inefficient counterparts.

Słowa kluczowe

PL

efektywność banków; wycena banków

EN

efficiency of banks; approisal

• Wydawca: Wydawnictwo Naukowe Uniwersytetu Szczecińskiego
• Czasopismo: Zeszyty Naukowe. Prace Instytutu Ekonomiki i Organizacji Przedsiębiorstw / Uniwersytet Szczeciński
• Rocznik: 2007
• Tom: Nr 50, t. 1
• Strony: 553--569
• Opis fizyczny: bibliogr. 53 poz., rys., tab., wykr.

Twórcy

autor

Kisielewska M.

• Uniwersytet Szczeciński, Wydział Nauk Ekonomicznych i Zarządzania, Zakład Inwestycji i Wyceny Przedsiębiorstw

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