John Goddard

Bangor University

The European banking industry comprises commercial, mutual and public banks. The categorizations refer to differences in ownership form. This chapter explores these differences and the issues in bank ownership. Section “Shareholder and Stakeholder-Oriented Financial Institutions” examines agency issues across different ownership forms. The section...

We investigate the determinants of US credit union capital-to-assets ratios, before and after the implementation of the current capital adequacy regulatory framework in 2000. Capitalization varies pro-cyclically, and until the financial crisis credit unions classified as adequately capitalized or below followed a faster adjustment path than well ca...

This paper contributes to the bank efficiency literature through an application of recently developed random parameters models for stochastic frontier analysis. We estimate standard fixed and random effects models, and alternative specifications of random parameters models that accommodate cross-sectional parameter heterogeneity. A Monte Carlo simu...

This study examines the firm size distribution of US banks and credit unions. A truncated lognormal distribution describes the size distribution, measured using assets data, of a large population of small, community-based commercial banks. The size distribution of a smaller but increasingly dominant cohort of large banks, which operate a high-volum...

We investigate the entry, exit and growth of commercial banks in the United States (US) during the period 1984-2012. Hazard function estimations for the probability of exit via acquisition and failure, and cross-sectional growth regressions examine the impact of exit through merger and acquisition (M&A) or failure, and internally-generated growth....

In this paper we develop an economic model of a professional sports league, in which the teams acquire playing talent in an external market. There have been several earlier formulations of this open model and all rely upon an inappropriately specified revenue function. Team revenues should depend upon the absolute quality of the teams, as well as t...

This study uses hazard function estimations and time-series and cross-sectional growth regressions to examine the impact of exit through merger and acquisition (M&A) or failure, and internally-generated growth, on the firm-size distribution within the US credit union sector. Consolidation through M&A was the principal cause of a reduction in the nu...

The extent to which accruals quality (AQ) is relevant for asset pricing has been debated widely. Prior research in this area has focused almost exclusively on the US. Using UK data, we investigate whether AQ portfolios exhibit evidence of significant mispricing, and whether an AQ factor is useful in explaining the portfolios' returns. We also inves...

This paper uses hazard function estimations together with cross-sectional growth regressions to examine the impact of exit through merger and acquisition (M&A) or failure, and internally-generated growth, on the firm-size distribution of the US credit union industry. Consolidation through M&A was the principal cause of a reduction in the number of...

We test for departures from normal and independent and identically distributed (NIID) log returns, for log returns under the alternative hypothesis that are self-affine and either long-range dependent, or drawn randomly from an L-stable distribution with infinite higher-order moments. The finite sample performance of estimators of the two forms of...

The properties of an iterative procedure for the estimation of the parameters of an ARFIMA process are investigated in a Monte Carlo study. The estimation procedure is applied to stock returns data for 15 countries.

This study examines the firm size distribution of US financial institutions. A truncated lognormal distribution describes the size distribution, measured using assets data, of a large population of small, community-based commercial banks. The size distribution of a smaller but increasingly dominant cohort of large banks, which operate a high-volume...

We investigate the determinants of US credit union capital-to-assets ratios, before and after the implementation of the current capital adequacy regulatory framework in 2000.Capitalization varies pro-cyclically, and credit unions classified as adequately capitalized or below followed a faster adjustment path than well capitalized credit unions. Cre...

Before the financial crisis of 2007-2009, the search for new revenue and profit streams by US banks contributed to a long-term trend towards disintermediation. Trading in derivatives might offer an alternative to traditional deposit-taking and lending business as a source of revenue and profit; or it might enable banks to increase their lending mor...

1 Dynamic panel models of firm growth and profit This paper unifies the growth and profit strands in the industrial organization literature, by testing both the Law of Proportionate Effect and the Persistence of Profit hypothesis within a two-equation model capturing the bi-directional relationship between growth and profit. The model is estimated...

Following a global wave of consolidation in the banking industry, this study analyses 132 mergers and acquisitions (M&As) involving banks in emerging markets in Asia and Latin America between 1998 and 2009. An event study measures the change in shareholder value for acquirers and targets; and a multivariate regression identifies the drivers of the...

We report an empirical analysis of long-range dependence in the returns of eight stock market indices, using the Rescaled Range Analysis (RRA) to estimate the Hurst exponent. Monte Carlo and bootstrap simulations are used to construct critical values for the null hypothesis of no long-range dependence. The issue of disentangling short-range and lon...

This paper examines the intensity of competition in 65 national banking industries. Country-level dynamic panel estimates of the persistence of bank profit are reported and compared. Persistence of bank profit is interpreted as an indicator of the intensity of competition, and as such is found to be consistent with traditional structure-based and c...

The second edition of this popular book presents a detailed economic analysis of professional football at club level, with new material included to reflect the development of the economics of professional football over the past ten years. Using a combination of economic reasoning and statistical and econometric analysis, the authors build upon the...

This paper examines the strength of competition in 65 national banking industries. Country-level dynamic panel estimates of the persistence of bank profit are reported and compared. The persistence of bank profit appears to be weaker for banks in developing countries than for those in developed countries. Persistence is relatively high in North Ame...

This article develops a dynamic game-theoretic model of optimizing strategic behaviour by football (soccer) teams. Teams choose between defensive and attacking formations and between a non-violent and a violent playing style, and can vary these choices continuously throughout each match. Starting from the end of the match and working backwards, the...

The Rosse-Panzar revenue test for competitive conditions in banking is based on observation of the impact on bank revenue of variation in factor input prices. We identify the implications for the H-statistic of misspecification bias in the revenue equation, arising when adjustment towards market equilibrium is partial and not instantaneous. In simu...

Recent studies argue that the spread-adjusted Taylor rule (STR), which includes a response to the credit spread, replicates monetary policy in the United State. We show (1) STR is a theoretically optimal monetary policy under heterogeneous loan interest rate contracts in both discretionay and commitment monetary policies, (2) however, the optimal r...

This paper examines the determinants and convergence of bank profitability in eight European Union member countries, between 1992 and 2007, using a dynamic panel model. There is evidence of persistence of abnormal bank profit from one year to the next. Average profitability was higher in banks that are strongly capitalised, efficient and diversifie...

Purpose The purpose of this paper is to provide an account of the financial crisis in Western Europe, primarily from a country‐level and banking sector perspective, from 2007 to the spring of 2009. It aims to detail measures enacted by governments and central banks to deal with impaired bank assets, recapitalize or otherwise resolve troubled banks,...

Unparalleled turmoil in the banking system over the past two years has impacted severely on the UK's economic prospects. What was once a profitable, fastgrowing, dynamic and highly innovative banking sector has been publicly humiliated, while its lending capacity has stalled. This article highlights the evolution of the credit crisis in the UK, as...

Unparalleled turmoil in the banking system over the past two years has impacted severely on the UK's economic prospects. What was once a profitable, fastgrowing, dynamic and highly innovative banking sector has been publicly humiliated, while its lending capacity has stalled. This article highlights the evolution of the credit crisis in the UK, as...

This article reports an analysis of the sources of variation in profitability and growth for manufacturing firms located in eleven European countries. A variance decomposition analysis determines the importance of the country, industry, corporate group and firm effects on profitability and growth. The analysis reveals evidence of differences betwee...

Purpose – The purpose of this paper is to provide an account of the financial crisis in Western Europe, primarily from a country-level and banking sector perspective, from 2007 to the spring of 2009. It aims to detail measures enacted by governments and central banks to deal with impaired bank assets, recapitalize or otherwise resolve troubled bank...

The article examines the determinants of capital-assets ratios for credit unions in the United States, before and after the implementation of current framework for capital adequacy regulation in the year 2000. Credit unions appear to hold capital in excess of what is required by current capital regulation. The fact that credit unions take longer th...

Tests for random walk behaviour in the Italian stock market are presented, based on an investigation of the fractal properties of the log return series for the Mibtel index. The random walk hypothesis is evaluated against alternatives accommodating either unifractality or multifractality. Critical values for the test statistics are generated using...

For US credit unions, revenue from non-interest sources has increased significantly in recent years. We investigate the impact of revenue diversification on financial performance for the period 1993–2004. The impact of a change in strategy that alters the share of non-interest income is decomposed into a direct exposure effect, reflecting the diffe...

We examine the determinants of disappearance through liquidation or acquisition for US credit unions during the period 2001-06. The hazard of disappearance is inversely related to both asset size and profitability, and positively related to liquidity. Growth-constrained credit unions are less attractive acquisition targets, but are more likely to f...

In an analysis of the professional footballers' labour market in England, factors influencing the probabilities that a current spell of employment terminates due to retirement or transfer are identified. Although the principal factors driving employment transitions did not change markedly following the Bosman ruling, some differences between the pr...

A novel test for racial discrimination in English professional football is presented, based on an assessment of the effect of race on footballers' labour market transition probabilities. Career progression is observed over five-year intervals within the period 1986–2001. Transition probabilities are estimated using a three-equation model with initi...

Empirical applications of the Tullock contest model are rare, due in part to the non-observability of effort. This paper presents an application of the standard Tullock model in a setting where effort can be observed and explained. A simple contest model is used to predict levels of effort in English soccer, with data on fouls and yellow and red ca...

This article develops a dynamic game-theoretic model of optimizing strategic behaviour by football teams. Teams choose continuously between defensive and attacking formations and between a non-violent and a violent playing style. Starting from the end of the match and working backwards, the teams’ optimal strategies conditional on the current state...

This paper investigates the relationship between team performance and managerial change in English football using a data set containing information on all match results and managerial job changes in the English Football League between 1972 and 1993. We find that poor recent form drives many managerial terminations, while managerial turnover is more...

Nested analysis of variance is used to identify the sources of variation in performance, measured by growth of membership and growth of assets, for a large sample of US credit unions. The analysis reveals that sector effects (geographic, common bond and charter type) account for only relatively small proportions of the variation in performance. Thi...

Recent stock price movements have led to a re-examination of the present value model. Typically, empirical studies have employed a long span of US stock market index data, and have attributed a failure to detect cointegration to the presence of bubbles. This study considers UK firm-level data, and implements panel unit root and cointegration tests....

We examine the determinants of disappearance through liquidation or acquisition for US credit unions during the period 2001-06. The hazard of disappearance is inversely related to both asset size and profitability, and positively related to liquidity. Growth-constrained credit unions are less attractive acquisition targets, but are more likely to f...

A queuing model for public health service waiting lists is developed, and the implications for patient welfare of different systems for managing the waiting list are analysed. If patients are admitted to hospital on a first-come-first-served basis, a welfare gain is achieved by moving from a system of implicit to one of explicit rationing of access...

The "Rosse-Panzar" revenue test for competitive conditions in banking is based on observation of the impact on bank revenue of variation in factor input prices. We identify the implications for the H-statistics of misspecification bias in the revenue equation arising when adjustment towards market equilibrium is partial and not instantaneous. In si...

Against a background of far-reaching structural change in the banking sector, this article reviews the recent academic literature on developments in European banking. European banking markets have become increasingly integrated in recent years, but barriers to full integration, especially in retail banking, still remain. European integration has po...

Credit derivatives enable banks to transfer selected credit risks to third parties. An empirical model is developed for the motivation for bank participation in credit derivative markets and, conditional on participation, the factors that determine the volume of business transacted. Participation appears to be closely related to bank size, but ther...

The paper presents a statistical analysis of patterns in the incidence of disciplinary sanction (yellow and red cards) that were taken against players in the English Premier League over the period 1996-2003. Several questions concerning sources of inconsistency and bias in refereeing standards are examined. Evidence is found to support a time consi...

Match-level National Hockey League (NHL) data are used to identify factors likely to trigger the departure of a team's coach, and to measure the short-term impact on subsequent match results. There is a statistically significant link between individual match results and the job departure hazard for up to 15 games prior to the point of departure. Th...

Purpose We test for the validity of the smoothing and signalling hypotheses of dividend determination. Design/methodology/approach Using a VAR framework we examine the dynamic behaviour of share prices, dividends and earnings for 137 UK manufacturing and service companies, observed over the period 1970‐2003. Findings There is strong evidence of a...

Three panel unit root tests are applied to a 31-year firm size, growth and profit rate data set for 96 large, quoted UK firms. All tests reject the unit root null for log size if the Augmented Dickey Fuller autoregressions exclude a linear time trend. If a linear trend is included, the results are more ambiguous and appear to differ systematically...

An assessment is made of the efficiency of four UK high street bookmakers’ betting odds for the 2004 European football (soccer) championships, based on an analysis of match results data from 15 previous international tournaments. Pretournament probabilities for the outright winners of Euro 2004 are generated using Monte Carlo simulations. There is...

Recent advances in panel data econometrics are used to investigate the determinants of profitability for manufacturing and service sector firms in Belgium, France, Italy and the UK, for the period 1993-2001. The paper synthesizes empirical models that have been used by researchers in industrial economics, strategic management and accounting and fin...

This article explores the size-growth relationship for a panel of large US credit unions, using the panel unit root tests of Im et al. (2003) and Maddala and Wu (1999). The reference point is Gibrat’s Law, or the Law of Proportionate Effect, according to which firm growth rates are independent of firm sizes. The panel unit root tests are applied to...

Credit derivatives enable banks to manage credit risk separately from other types of risk, by transferring selected credit risks to third parties. Recently, global credit derivative markets have expanded rapidly, but a relatively small number of banks still accounts for most of the credit derivative business transacted by the US banking sector. An...

In the previous literature, two approaches have been used to model match outcomes in association football (soccer): first, modelling the goals scored and conceded by each team; and second, modelling win–draw–lose match results directly. There have been no previous attempts to compare the forecasting performance of these two types of model. This pap...

An econometric analysis of the growth performance of US credit unions for the period 1992-2001 investigates empirical relationships between size, age and growth. Ceteris paribus larger credit unions grew faster than smaller unions. State credit unions grew faster than federal credit unions, and single bond credit unions grew faster than multiple bo...

The North American model of resource allocation in professional sports leagues is adapted for English (association) football. Comparisons are drawn between the equilibrium allocations of playing talent under objective functions of profit maximisation and win percent maximisation subject to a financial constraint. Empirical revenue functions are rep...

The profitability of European banks during the 1990s is investigated using cross-sectional, pooled cross-sectional time-series and dynamic panel models. Models for the determinants of profitability incorporate size, diversification, risk and ownership type, as well as dynamic effects. Despite intensifying competition there is significant persistenc...

Dynamic panel and cross-sectional regressions are used to estimate growth and profit equations for a sample of commercial, savings, and co-operative banks from five major European Union countries during the mid-1990s. Methodologically, the paper unifies the growth and profit strands in the previous empirical literature. The growth regressions revea...

This chapter discusses the statistical analysis, modelling and forecasting of match results in (association) football. Section 2 uses some of the basic tools of probability theory to summarise and describe a data set comprising 30 years of English Premier League (PL) and Football League (FL) match results. Sec-tion 3 provides a brief review of prev...

An ordered probit regression model estimated using 10 years' data is used to forecast English league football match results. As well as past match results data, the significance of the match for end-of-season league outcomes, the involvement of the teams in cup competition and the geographical distance between the two teams' home towns all contribu...

Dynamic panel unit root tests are used to investigate the convergence hypothesis for a sample of developing countries. The data are real per capita GDP for the period 1960-95, covering 80 countries grouped into three broadly defined regions. The traditional cross-section unconditional convergence model produces no evidence of intra-regional converg...

An empirical investigation of persistence in sequences of consecutive match results in (association) football is presented. A Monte Carlo analysis is used to generate sequences of simulated match results for heterogeneous teams under assumptions of zero persistence. A comparison between the simulated results and 30 years of observed match results d...

The unusual nature of the product of sporting leagues, and the desire for competitive balance on the field of play, provide an economic justification for redistributing financial resources between football clubs. The article examines the relationship between changes in the distribution of playing success between different types of clubs and changes...

Households have experienced an expansion of financial opportunities over the past several decades. Expanded financial opportunities, such as the democratization of credit and new lending approaches, can yield benefits in terms of household economic security. However, the financial crisis that began in 2007 has powerfully illustrated that expanded f...

Over a quarter-century of match-level data are used to examine the effect of managerial change on team performance in English (association) football, using ordered probit regression. On average, teams that changed their manager within-season are found to under-perform over the following 3 months. Managerial change also increases the variance of the...

The properties of the standard cross sectional test of the Law of Proportionate Effect (LPE) are compared with those of three alternative panel unit root tests, using Monte Carlo methods. The cross sectional procedure produces biased parameter estimates and the test suffers from a loss of power if there are heterogeneous individual firm effects. Su...

Tests of the convergence hypothesis using annual gate revenue data for English professional soccer clubs for the period 1926 to 1997 are reported. The distribution of gate revenues among clubs is found to have widened markedly, and there is no evidence of convergence for the period as a whole. However, a sequence of tests for 5-yearly subperiods sh...

Previous theoretical literature on malfeasance provides the basis for a theoretical model of absenteeism that incorporates both labor demand and supply side influences. This paper uses this theoretical framework as the basis for an analysis of the link between absenteeism, aggregate production and unemployment, using monthly US data for 1979–93. Te...

Cross sectional estimation of convergence regressions is known to be hazardous if there is convergence towards heterogeneous steady state values. In this paper, Monte Carlo methods are used to investigate the implications of this parameter heterogeneity problem. The cross sectional and pooled OLS estimators are compared with a panel estimator which...

Diagnostic tests for normality, heteroscedasticity and structural stability are reported for an ordered probit model applied to an English league soccer match results data set. The unsystematic component in match results is found to be normal and homoscedastic, but the ordered probit model parameters reflecting relative team strengths are found to...

This paper investigates the effects of actual and hypothetical changes in league structure on match attendances for English rugby league. An empirical match attendance model is used to generate simulated attendances under various alternative structural regimes.The simulations are used to compare the effects on attendances of having larger and small...

This book presents a detailed economic analysis of professional football at club level, using a combination of economic reasoning and statistical and econometric analysis. Most of the original empirical research reported in the book is based on English club football. A wide range of international comparisons help emphasize both the broader relevanc...

This paper uses spectral analysis to examine interrelationships between the daily returns generated by one US (S&P 500) and three major European (FTSE 100, DAX 30, CAC 40) share price indices. Evidence is found of strong interdependence between the European returns series, as well as a lead-lag relationship between the US and each of the European s...

Involuntary and voluntary managerial job-termination hazard functions are estimated for English professional soccer for the period 1972-1997. A novel feature is the use of match-level data, which reveals aspects of the hazard otherwise concealed by estimation using annual data. Short-term fluctuations in performance strongly influence the involunta...

The impact of technical change on the costs of European banks is investigated using stochastic cost frontier estimation. Technical change is decomposed into pure, scale augmenting and non-neutral components. We find that the rate of reduction in costs due to technical change increased, between 1989 and 1996, and large banks benefited more than smal...

Inferences are drawn about the true coefficients which correspond to sample estimates of a persistence of profit model fitted over a large number of firms. This is done by generating simulated sampling distributions for the estimators over various distributional assumptions. Profits seem to be stationary for all firms, with an average short run per...

This paper provides some empirical evidence on topics discussed at greater length in a recent paper in Health Economics (Goddard, J.A., Malek, M. and Tavakoli, M. Health Economics 1995; 4: 41-55), which modelled the relationship between referral rates and waiting lists for hospital treatment for non-urgent conditions within a queuing theory framewo...

Using a dataset comprising annual performance (measured by final league position) and gate revenue for 77 Football League clubs which maintained unbroken league membership between 1946 and 1994, the relationship between performance and revenue is investigated using cointegration and causality tests. A cointegrating relationship between performance...

A theoretical model of the commercial property market is developed which takes account of the firm's choice between alternative forms of occupancy (owner-occupancy or tenancy) and locations (centre or periphery), and which assumes that equilibrium rents and prices are determined by a set of simultaneous market-clearing conditions in sub-markets for...

Adopting methods which have been developed elsewhere in analysing the dynamics of profitability, this paper investigates the persistence of profits for a UK sample which includes, for the first time, a contingent of service sector firms. Persistence of profits is found to be marginally higher in services than in manufacturing. Industry-wide charact...

This paper investigates the determinants of the demand for football in the regions of England and Wales. Using annual time series data over a 37-year period, we use a dynamic error correction model to identify economic and football-specific factors which determine attendances in the short run and long run. The short run influences on demand are per...

This paper develops an economic model of the market for treatment of waiting list conditions, in which complainants choose between private treatment, NHS treatment and no hospital treatment. This choice depends on a number of clinical and non-clinical factors, which enter the demand functions for private and NHS treatment. Among the key influences...

Using a new data set to investigate the distribution of aggregate attendances between member clubs of the Football League, it is found that club-specific base levels of support depend on the market size and composition, and the club's age. The sensitivity of attendance to success and price is found to be greater for clubs from towns with high propo...

Using match attendance data collected from a postal survey of Football League clubs, separate demand equations are estimated for standing and seated viewing accommodation. Some significant differences between attendance patterns for the two types of accommodation are identified: current form, the championship significance of the match and a geograp...

This paper develops a theoretical model of price and rent determination in the commercial property market. Prices and rents are assumed to adjust to ensure market clearing. A series of theoretical relationships are derived between prices and rents and a number of exogenous variables. These are then subjected to empirical testing for three types of...

Evidence is presented of persistent interregional differentials in growth rates of industrial property prices in the United Kingdom. Some simple two-region models of the location decision in the presence of expected property value growth differentials are derived and the predictions of these models evaluated against available evidence of the size o...

An ordered probit regression model estimated using 15 years' data is used to model English league football match results. As well as past match results data, the significance of the match for end-of-season league outcomes; the involvement of the teams in cup competition; the geographical distance between the two teams' home towns; and the average a...

The determinants of credit union capital-assets ratios are investigated, before and after the implementation of the current capital adequacy regulatory framework in 2000. The empirical model comprises a probit regression for the probabilities of survival or disappearance in each six-month period, and a fixed effects regression for capital adjustmen...

In recent years, the US credit union sector has undergone a wave of consolidation. This paper through the estimation of hazard functions for credit union disappearances identifies the determinants of acquisition for US credit unions during the period 2001 to 2006. The hazard of acquisition is inversely related to both asset size and profitability,...