Productivity change and shareholder value have been analysed in the banking sector in the last few years, although it should be noted that these two important aspects have been studied separately. In this regard, the main contribution of our study is to link these two lines of research by verifying whether those banks characterised by higher levels of efficiency and productivity change have a higher shareholder value. To measure changes in efficiency and productivity we use the Malmquist non-parametric technique, which is calculated from Data Envelopment Analysis (DEA) linear programming approach. The Malmquist total factor productivity index enables separation of the 'catching up' effect, i.e, changes over time in technical efficiency, from 'technological change', i.e., the shift of best practice frontier over time due to technological progress. Our results for a sample of listed Spanish banks in the period 2000-2004 confirm that those banks with higher efficiency and productivity changes have a higher shareholder value, even after controlling for the impact of traditional measures of performance, such as return on assets.
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