@techreport{Koetter2006stability,
abstract = {We analyze the stability of efficiency rankings of German universal banks between
1993 and 2004. First, we estimate traditional efficiency scores with stochastic cost
and alternative profit frontier analysis. Then, we explicitly allow for different risk
preferences and measure efficiency with a structural model based on utility maximization.
Using the almost ideal demand system, we estimate input and profit
demand functions to obtain proxies for expected return and risk. Efficiency is then
measured in this risk-return space. Mean risk-return efficiency is somewhat higher
than cost and considerably higher than profit efficiency. More importantly, rankorder
correlation between these measures are low or even negative. This suggests
that best-practice institutes should not be identified on the basis of traditional efficiency
measures alone. Apparently, low cost and/or profit efficiency may merely
result from alternative yet efficiently chosen risk-return trade-offs.},
author = {Michael Koetter},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G33; G21; D21; L21; 330; Risk; efficiency; banks; Germany; Universalbank; Wirtschaftliche Effizienz; Technische Effizienz; Risiko; Risikopr\"{a}ferenz; Sch\"{a}tzung; Deutschland},
language = {eng},
number = {2006,08},
title = {The stability of efficiency rankings when risk-preferences and objectives are different},
type = {Discussion Paper, Series 2: Banking and Financial Supervision},
url = {http://hdl.handle.net/10419/19755},
year = {2006}
}