Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures
This paper examines prediction of U.S. bank failure with a probit model that uses bias-corrected technical efficiency estimated using bootstrap data envelopment analysis as the measure of management quality. The model is tested on a sample of failed and non-failed banks during the sub-prime mortgage...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Elsevier
2022-09-01
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| Series: | Central Bank Review |
| Subjects: | |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S1303070122000208 |
| _version_ | 1798031311679520768 |
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| author | Abdus Samad Vaughn S. Armstrong |
| author_facet | Abdus Samad Vaughn S. Armstrong |
| author_sort | Abdus Samad |
| collection | DOAJ |
| description | This paper examines prediction of U.S. bank failure with a probit model that uses bias-corrected technical efficiency estimated using bootstrap data envelopment analysis as the measure of management quality. The model is tested on a sample of failed and non-failed banks during the sub-prime mortgage meltdown, 2008–2009. Results demonstrate this measure of management efficiency, together with other CAMEL factors (i.e., capital adequacy, asset quality, earnings quality, and liquidity), is significant for predicting bank failure. This measure of managerial quality allows more accurate prediction of failure than other measures. The model successfully predicts bank failure one and two years prior to failure. |
| first_indexed | 2024-04-11T19:55:26Z |
| format | Article |
| id | doaj.art-06e352cf55634e31985da972a9b26cf4 |
| institution | Directory Open Access Journal |
| issn | 1303-0701 |
| language | English |
| last_indexed | 2024-04-11T19:55:26Z |
| publishDate | 2022-09-01 |
| publisher | Elsevier |
| record_format | Article |
| series | Central Bank Review |
| spelling | doaj.art-06e352cf55634e31985da972a9b26cf42022-12-22T04:06:03ZengElsevierCentral Bank Review1303-07012022-09-01223119127Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failuresAbdus Samad0Vaughn S. Armstrong1Corresponding author.; Department of Finance and Economics Utah Valley University 800 W University Pkwy Orem, UT, 84058, USADepartment of Finance and Economics Utah Valley University 800 W University Pkwy Orem, UT, 84058, USAThis paper examines prediction of U.S. bank failure with a probit model that uses bias-corrected technical efficiency estimated using bootstrap data envelopment analysis as the measure of management quality. The model is tested on a sample of failed and non-failed banks during the sub-prime mortgage meltdown, 2008–2009. Results demonstrate this measure of management efficiency, together with other CAMEL factors (i.e., capital adequacy, asset quality, earnings quality, and liquidity), is significant for predicting bank failure. This measure of managerial quality allows more accurate prediction of failure than other measures. The model successfully predicts bank failure one and two years prior to failure.http://www.sciencedirect.com/science/article/pii/S1303070122000208G20G21 |
| spellingShingle | Abdus Samad Vaughn S. Armstrong Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures Central Bank Review G20 G21 |
| title | Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures |
| title_full | Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures |
| title_fullStr | Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures |
| title_full_unstemmed | Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures |
| title_short | Bootstrap-DEA management efficiency and early prediction of bank failure: Evidence from 2008-2009 U.S. bank failures |
| title_sort | bootstrap dea management efficiency and early prediction of bank failure evidence from 2008 2009 u s bank failures |
| topic | G20 G21 |
| url | http://www.sciencedirect.com/science/article/pii/S1303070122000208 |
| work_keys_str_mv | AT abdussamad bootstrapdeamanagementefficiencyandearlypredictionofbankfailureevidencefrom20082009usbankfailures AT vaughnsarmstrong bootstrapdeamanagementefficiencyandearlypredictionofbankfailureevidencefrom20082009usbankfailures |