Hua, Changchun; Liu, Li-Gang - Asian Development Bank Institute, Asian Development Bank - 2010
their risk-return profiles. It is expected that banks with high ratings tend to earn high expected returns for the risks … achieving risk-return efficiency. We first estimate the expected returns, risks, and financial distress risk proxy (the inverse … z-score), then apply the stochastic frontier analysis (SFA) to obtain the risk-return efficiency score for each bank …