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This paper brings to the forefront the assumptions that we make when focussingon a particular type of explanation for bank profitability. We evaluate a broad field of research by introducing a general framework for a profit maximizing bank and demonstrate how different types of models can be...
Persistent link: https://www.econbiz.de/10005021826
This paper demonstrates that the level of competition in the existing Panzar Rosse (P-R) literature is systematically overestimated and that the tests on both monopoly and perfect competition are distorted. This is due to the use of bank revenues divided by total assets as dependent variable in...
Persistent link: https://www.econbiz.de/10005021837
Often, a relatively small group of trades causes the major part of the trading costs on an investment portfolio. For the equity trades studied in this paper, executed by the world's second largest pension fund, we find that only 10% of the trades determines 75% of total market impact costs....
Persistent link: https://www.econbiz.de/10005021846
Administrative and investment costs per participant appear to vary widely across pension funds. These costs are important because they reduce the rate of return on the investments of pension funds and consequently raise the cost of retirement security. This paper examines the impact of...
Persistent link: https://www.econbiz.de/10005021847
Administrative costs per participant appear to vary widely across pension funds in different countries. These costs are important because they reduce the rate of return on the investments of pension funds, and consequently raise the cost of retirement security. Using unique data on 90 pension...
Persistent link: https://www.econbiz.de/10008489839
This paper analyzes mean reversion in international stock markets during the period 1900-2008, using annual data. Our panel of stock indexes in seventeen developed countries, covering a time span of more than a century, allows us to analyze in detail the dynamics of the mean-reversion process....
Persistent link: https://www.econbiz.de/10008475754
The Panzar-Rosse test has been widely applied to assess competitive conduct, often in specifications controlling for firm scale or using a price equation. We show that neither a price equation nor a scaled revenue function yields a valid measure for competitive conduct. Moreover, even an...
Persistent link: https://www.econbiz.de/10008475760
This paper assesses the sophistication of pension funds' investment policies using data on 748 Dutch pension funds during the 19992006 period. We develop three indicators of sophistication: gross rounding of investment choices, investments in alternative sophisticated asset classes and home...
Persistent link: https://www.econbiz.de/10004983365
This paper is the first detailed and world-wide investigation of the developments in banking competition during the past fifteen years. Using the Panzar-Rosse approach, we establish significant changes over time in the competitiveness of the banking industry. The changes in competition over time...
Persistent link: https://www.econbiz.de/10005101824
This paper is the first that applies a new measure of competition, the Boone indicator, to the banking industry. This approach is able to measure competition of bank market segments, such as the loan market, whereas many well-known measures of competition can consider the entire banking market...
Persistent link: https://www.econbiz.de/10005101862