1. Introduction and Overview. 2. Detecting Influential Observations and Outliers. 3. Detecting and Assessing Collinearity. 4. Applications and Remedies. 5. Research Issues and Directions for Extensions. Bibliography. Author Index. Subject Index.

Regression Diagnostics: Identifying Influential Data and Sources of Collinearity

An Empirical Analysis of the Dynamic Relation between Investment-Grade Bonds and Credit Default Swaps

This paper empirically analyses the factors that determine the profitability of Spanish banks for the period of 1999–2009. We conclude that the high bank profitability during these years is associated with a large percentage of loans in total assets, a high proportion of customer deposits, good efficiency and a low doubtful assets ratio. In addition, higher capital ratios also increase the bank’s return, but only when return on assets (ROA) is used as the profitability measure. We find no evidence of either economies or diseconomies of scale or scope in the Spanish banking sector. Finally, our study reveals differences in the performance of commercial and savings banks.

What determines the profitability of banks? Evidence from Spain

Financial distress and bankruptcy prediction among listed companies using accounting, market and macroeconomic variables

An empirical analysis of e-participation. The role of social networks and e-government over citizens' online engagement

We use a dynamic panel data model to analyze bank-specific and macroeconomic determinants of bank risk for a large sample of commercial banks operating in the euro area. The selected time span, from 2001 to 2012, considers the impact of the on-going financial and economic crisis on the Eurozone banking system. Our results indicate that capitalization, profitability, efficiency and liquidity are inversely and significantly related to bank risk. However, the recourse to wholesale funding by banks seems to increase their risk. We also find that less-concentrated markets, lower interest rates, higher inflation rates and a context of economic crisis (with a falling GDP) increase bank risk.

Factors Influencing Bank Risk in Europe: Evidence from the Financial Crisis

This paper analyses the reasons why Spanish banks securitised in the period 2000–2007 on such a large scale that Spain has become the European country with the second-largest issuance volume after the UK. The results obtained by applying a logistic regression model to a sample of 408 observations indicate that liquidity and the search for improved performance are the decisive factors in securitisation. We find no evidence to support hypotheses regarding credit risk transfer and regulatory capital arbitrage. Our study also presents a more detailed analysis that differentiates between asset and liability securitisation programmes.

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What drives bank securitisation? The Spanish experience.

This paper analyzes empirically the factors that determine the profitability of
Spanish banks for the period of 1999-2009. The results obtained by applying the
system-GMM estimator to a large sample of Spanish banks indicate that higher bank
profitability during these years is associated with a larger percentage of loans in total
assets, a higher proportion of customer deposits, better efficiency, and a lower credit
risk. In addition, higher capital ratios also increase the bank�s return, although this
finding applies only when using return on assets (ROA) as the profitability measure.
We find no evidence of either economies or diseconomies of scale or scope in the
Spanish banking sector. On the other hand, all industry and macroeconomic
determinants, with the exception of interest rate, affect bank profitability in the
anticipated ways. Finally, our study reveals differences in the performance of
commercial and savings banks.

Antonio Trujillo-Ponce

Papers

What determines the profitability of banks? Evidence from Spain

Factors Influencing Bank Risk in Europe: Evidence from the Financial Crisis

What drives bank securitisation? The Spanish experience.

Why are (or were) Spanish banks so profitable

Factors influencing bank risk in Europe: Evidence from the financial crisis