Why are bank profits so persistent?: the roles of product market competition, informational opacity, and regional/macroeconomic shocks
Divisions of Research & Statistics and Monetary Affairs, Federal Reserve Board, 1999 - Business & Economics - 29 pages
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assets bank performance banking industry banks with high boom period Brown and Goetzmann corresponding industry estimates derived from impediments Federal Reserve Board ﬁnd ﬁnding ﬁrms ﬁrst groo atl aoets Gross Domestic Product high benchmark high end High Source Subgroup Ibbotson impediments to product indica‘r variable inﬂuence informational opacity lL,_ low benchmark low end Low Source Subgroup LP3 estimates lW,_ macroeconomic market power derived market power subgroups mutual fund nonparametric number of past off-balance sheet activity P(Ll P(Wl past periods performance distribution performance persistence performance source mechanism persistence measures pre-boom and boom pre-boom period probability of switching probability of winning product market competition proﬁtability regional shocks regional/macroeconomic shocks regulatory restrictions respective industry estimates retums risk position mechanism ROE Performance Measure sensitive to regional/macroeconomic serially correlated series pattems shocks propagation mechanism signiﬁcantly different subgroups of banks suggest survivorship bias testable implications total persistence estimates variance W,_j winning and losing winning persistence yoom