金融市场与机构 Jeff Madura 20

20BankPerformanceChapterObjectivesIdentifythefactorsthataffectthevaluationofacommercialbankComparetheperformanceofbanksindifferentsizeclassificationsoverrecentyearsExplainhowtoevaluatetheperformanceofbanksbasedonfinancialstatementdataValue=E(CFt)(1+k)tt=1nValuationofaCommercialBankBanksarecommonlyvaluedbymanagerstomonitorperformanceovertimeanddeterminethepropermixofservicesthatwillmaximizethevalueofthebankBanksarealsovaluedbyotherfinancialinstitutionsthatareconsideringanacquisitionThevalueofabankcanbemodeledasthepresentvalueoffuturecashflowsValuationofaCommercialBank

ValueofacommercialbankdependsonitsexpectedcashflowsandrequiredrateofreturnV=f[E(CF),k]

V

=Changeinvalueoftheinstitution

k=ChangeinrequiredrateorreturnWhere:E(CF)=Changeinexpectedcashflows+ValuationofaCommercialBank

FactorsthataffectcashflowsE(CF)

=ExpectedcashflowRf=RiskfreeinterestrateINDUS=PrevailingindustryconditionsfortheinstitutionWhere:E(CF)=f(ECON,Rf,INDUS,MANAB)ECON

=EconomicgrowthMANAB=Theabilityoftheinstitution’smanagement+-?+ValuationofaCommercialBankEconomicgrowthIncreaseshouseholdorbusinessdemandforloansBanksmoveassetsfromT-billsandothersecuritiestomoreprofitableloansLoandefaultstendtobelowerduringperiodofstrongeconomicgrowthOtherfinancialservicesprovidedbycommercialbanksalsoexperienceincreasesindemandInsurance,brokeragefinancialplanningValuationofaCommercialBankChangeintherisk-freeinterestrateInterestratemovementsareinverselyrelatedtoacommercialbank’scashflowsBanksrelyoninterest-sensitiveshort-termdepositsasasourceoffundsBank’suseoffunds(suchasloans)arelesssensitivetointerestratesthandepositsValuationofaCommercialBankChangeinindustryconditionsOneofthemostimportant:regulationIfregulatorsreduceconstraints,bank’sexpectedcashflowsincreaseTechnologicalinnovationImprovesefficiencyLevelofcompetitionChangeinmanagementabilitiesTheonlyoneofthefactorswithinbank’scontrolSkillfulmanagersenhanceabank’scashflowsExhibit20.1FrameworkforValuingACommercialBankaAbilitiesoftheCommercialBank’sManagersBankIndustryConditions(suchasRegulations,Technology,andCompetition)EconomicGrowthExpectedCashFlowstoBeGeneratedbytheCommercialBankRequiredReturnbyInvestorsWhoInvestintheCommercialBankInflationMoneySupplyBudgetDeficitRisk-FreeInterestRateRiskPremiumontheCommercialBankValueoftheCommercialBankValuationofaCommercialBankFactorsthataffecttherequiredrateofreturnbyinvestors:therisk-freerateandtheriskpremiumInvestorsrequiredrateofreturn:Where:Rf=RiskfreeinterestrateRP

=Riskpremiumk

=f(Rf,RP)++ValuationofaCommercialBankChangeintherisk-freerate

Rf=f(INF,ECON,MS,DEF)INF

=InflationaryexpectationsRf=RiskfreeinterestrateMS=MoneysupplyECON

=EconomicgrowthWhere:DEF

=Budgetdeficit+++

ChangeintheriskpremiumINDUS=PrevailingindustryconditionsfortheinstitutionWhere:ECON

=EconomicgrowthMANAB=Theabilityoftheinstitution’smanagementRP

=Riskpremium

RP=f(ECON,INDUS,MANAB)?ValuationofaCommercialBankPerformanceEvaluationofBanksInterestincomeandexpensesGrossinterestincome=interestincomegeneratedfromallinterest-bearingassetsAffectedbymarketratesImpactedbythecompositionofbankassetsGrossinterestexpenses=interestpaidondepositsandborrowedfundsAffectedbymarketratesImpactedbythecompositionofbankliabilitiesNetinterestincome=grossinterestincome– interestexpensesExhibit20.3GrossInterestIncomeAmongBankClassesaaa13.012.011.010.09.08.07.0019811980198219831984198519861987198819891990Year6.01991199219931994199519961997199819992000SmallBanksMoneyCenterBanksLargeBanksMediumBanksGrossInterestIncome(as%ofAssets)Exhibit20.4GrossInterestExpensesAmongBankClassesaaMediumBanksSmallBanks10.09.08.07.06.05.04.001981198019821983198419851986198719881989Year11.0199019911992199319941995199619971998199920003.0MoneyCenterBanksLargeBanksGrossInterestIncome(as%ofAssets)Exhibit20.5NetInterestMarginsAmongBankClassesaaMoneyCenterBanksLargeBanksMediumBanks5.04.03.02.01.0019811980198219831984198519861987198819891990Year19911992SmallBanks19931994199519961997199819992000NetInterestMargin(InPercent)PerformanceEvaluationofBanksNoninterestincomeandexpensesNoninterestincomeresultsfromfeeschargedonservicesLockboxes,banker’sacceptances,cashier’schecks,foreignexchangetransactionsLoanlossprovisionisareserveaccountestablishedinanticipationoffuturelossesNoninterestexpensesincludesalaries,officeequipmentSecuritiesgainsandlossesExhibit20.6NoninterestIncomeAmongBankClassesaaYear19811.81.0019801.61.41.20.80.601982198319841985198619871988198919902.02.22.4199119922.6199319941995199619971999200019982.83.03.23.43.63.8MoneyCenterBanksLargeBanksMediumBanksSmallBanksNoninterestIncome(as%ofAssets)Exhibit20.7LoanLossProvisionsAmongBankClassesaaMoneyCenterBanks1.01981198019821983198419851987198819891993Year0.20.30.40.50.60.70.80.91.61.71.81.92.02.12.21.5199019911992199519941996199819971999200019861.21.1SmallBanksMediumBanksLargeBanksLoanLossProvision(as%ofAssets)PerformanceEvaluationofBanksNetincomeReturnonassetsNetincomeasapercentofassetsDifferentforsmallbanksvs.largebanksReturnonequityAffectedbyROAandleverageROE=ROAxleveragemultiplierExhibit20.8KeyComponentsAffectingROAaa5.04.03.02.01.0019811980198219831984198519861987198819891990Year1991199219931994199519961997199920001998NoninterestExpenses,PlusLoanLossProvisionNetInterestMarginNoninterestIncomeAssetsReturnonKeyComponentsAffectingReturnonAssets(as%ofAssets)Exhibit20.9ReturnonAssetsAmongBankClassesaaYear0.40.20–0.2–0.4–0.8–1.0198119801982198319841985198619871988198919900.60.81.01.219911992199319941995199619971999200019981.41.6SmallBanksMediumBanksLargeBanksMoneyCenterBanksReturnonAssets(inPercent)Exhibit20.11ReturnOnEquityAmongBankClassesaa22.020.018.016.014.010.08.019811980198219831984198519861987198819891990Year12.06.04.00.0-18.0-2.0-20.02.0MediumBanks24.01991199219931994199519961997199819992000LargeBanksMoneyCenterBanksSmallBanksReturnonEquity(%)RiskEvaluationofBanksNoconsensusmeasurementexiststhatwouldallowforcomparisonofvarioustypesofriskamongallbanksSomeanalystsmeasureafirm’sriskbyitsbeta,whichmeasuresthesensitivityofstockreturnstothemarketasawholeRi,t=B0+B1Rm,t+utBetaignoresfirm-specificcharacteristicsHowtoEvaluateaBank’sPerformanceExaminationofReturnonAssets(ROA)Willusuallyrevealpoorperformance,butwillnotindicatethesourceoftheproblemMustexamineitsrevenue/expensecomponentsseparatelyPossiblereasonsforalowROA:ExcessiveinterestexpensesLowinterestreceivedonloansandsecuritiesTooconservative—excessiveshort-termsecuritiesEconomicdeclineinmarketareareducesloansInsufficientnoninterestincomeIncreaseservicefeesConsiderotherfeeincomeservicesHighprovisionsforloanslossesinanticipationofincreasedloanwrite-offsBankFailuresReasonsf