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引用次数: 0
摘要
本研究使用 2006 年至 2023 年中国 42 家上市银行的非平衡面板数据集研究银行效率与股票市场估值之间的关系。我们采用了基于非径向和非定向松弛的超效率数据包络分析(Super-SBM-UND-VRS based DEA)模型,该模型将不良贷款(NPLs)视为非期望产出。我们的结果表明,超效率与股票市场估值之间的关系强于资产收益率(ROA)与托宾 Q 衡量的股票市场表现之间的关系。值得注意的是,与其他效率方法(如托氏前沿分析法(SFA)和传统 DEA 模型)相比,超 SBM-UND-VRS 模式产生了新颖的结果。
Super-efficiency and Stock Market Valuation: Evidence from Listed Banks in China (2006 to 2023)
This study investigates the relationship between bank efficiency and stock
market valuation using an unbalanced panel dataset of 42 listed banks in China
from 2006 to 2023. We employ a non-radial and non-oriented slack based
super-efficiency Data Envelopment Analysis (Super-SBM-UND-VRS based DEA) model,
which treats Non-Performing Loans (NPLs) as an undesired output. Our results
show that the relationship between super-efficiency and stock market valuation
is stronger than that between Return on Asset (ROA) and stock market
performance, as measured by Tobin's Q. Notably, the Super-SBM-UND-VRS model
yields novel results compared to other efficiency methods, such as the
Stochastic Frontier Analysis (SFA) approach and traditional DEA models.
Furthermore, our results suggest that bank evaluations benefit from decreased
ownership concentration, whereas interest rate liberalization has the opposite
effect.