How loan portfolio diversification affects risk, efficiency and capitalization: A managerial behavior model for Austrian banks

被引：114

作者：

Rossi, Stefania P. S. ^{[2
,3
]}

Schwaiger, Markus S. ^{[1
]}

Winkler, Gerhard ^{[1
]}

机构：

[1] Vienna Univ Econ & Business, Dept Finance & Accounting, Vienna, Austria

[2] Univ Cagliari, Dept Econ, I-09124 Cagliari, Italy

[3] Univ Vienna, Dept Econ, A-1010 Vienna, Austria

来源：

JOURNAL OF BANKING & FINANCE | 2009年 / 33卷 / 12期

关键词：

Diversification; Risk; Cost and profit efficiency; Managerial behavior; COMMERCIAL-BANKS; COST; PERFORMANCE; SECTOR; INCOME;

D O I：

10.1016/j.jbankfin.2009.05.022

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

The aim of this paper is to analyze how diversification of banks across size and industry affects risk, cost and profit efficiency, and bank capitalization for large Austrian commercial banks over the years 1997-2003. Employing a unique dataset, provided by the Austrian Central Bank, we test for several different types of managerial hypotheses, formalized according to a modified version of the Berger and DeYoung model [Berger, A.N, DeYoung, R., 1997. Problem loans and cost efficiency in commercial banks. journal of Banking and Finance 21, 849-870]. We find that, although diversification negatively affects cost efficiency, it increases profit efficiency and reduces banks' realized risk. Finally, diversification seems to have a positive impact on banks' capitalization. (c) 2009 Elsevier B.V. All rights reserved.

引用

页码：2218 / 2226

页数：9

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