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References 223
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Appendices 235
List of Appendices
Appendix 1: Overview of forecast horizons used in bank valuation 237
Appendix 2: Forecast horizon for banks using a residual income approach 238
Appendix 3: Methods for forecasting future bank performance 239
Appendix 4: Overview of growth rates assumed in literature 240
Appendix 5: Overview of industry betas for banks by country 241
Appendix 6: Overview of exemplary banking betas from public sources 242
Appendix 7: Overview of industry betas by bank type and region 243
Appendix 8: Allocation of interest income using a matched-opportunity rate 244
Appendix 9: Overview of key adjustments to valuation models 245
Appendix 10: Sample characteristics by year 246
Appendix 11: Distribution of sample banks by country 247
Appendix 12: Distribution by bank type per region 248
Appendix 13: Sample coverage of DS banking indices by year 249
Appendix 14: Overview of risk-free rate by country 250
Appendix 15: Estimation of market risk premium 251
Appendix 16: Overview of yearly regional industry betas 252
Appendix 17: Dispersion of the prediction errors by region and bank type 253
Appendix 18: Summary statistics for regression models 254
Appendix 19: F-test for joint insignificance of coefficient estimates 255
Appendix 20: Specification tests for fixed effects model 256
Appendix 21: Comparison of beta methodologies - European banks 257
236 Appendices
: Sensitivity of IV to isolated accounting adjustments 258
: Average value creation by phase 259
: Descriptive statistics of characteristics by subsample 260
: Distribution of Universal Banks by country 261
: Overview of tax rates by country 262
: Overview of risk-free rates by country 263
: Estimation of market risk premium 264
: Overview of yearly banking betas by country 265
: Overview of cost of equity by country 266
: Development of RIOE by sample 267
: Summary results for the pooled regression - Total sample 268
: Summary results for the between effects model - Total sample 269
: Summary results for the fixed effects model - Total sample 270
: Summary results for the random effects model - Total sample 271
; Specification tests of regression models 272
: Test for significance of fixed effects 273
: Hausman test for effect endogeneity 273
: LM test for serial correlation 274
: Modified Wald test for groupwise heteroscedasticity 274
: Summary results for the fixed effects model by sample 275
: Summary results for the between effects model by sample 276
: Regression results for alternative branch structure parameters 277
Append]
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ix22
1x23:
1x24:
[x25:
1x26
,x27:
1x28:
1x29
1x30:
x31:
.x32:
.x33:
.x34:
,x35:
x36;
x37:
x38;
x39:
x40:
x41:
x42:
x43:
Appendices 237
Appendix 1: Overview of forecast horizons used in bank valuation
Years
3 years
3 to 6 years
4 years
3 to 10 years
5 years
5 to 7 years
5 to 10 years
10 years
Source
Horter(1998Xp. 156
Matten (2000), p. 277
Bomer and Lowis (1997), p. 100
Kirsten(1995),p.674
Vettiger(1996),p. 131
Zessin(1982),p. 64
Adolfetal.(1989b),p.488
Behm(1994),p.60
MSDW(2001),p.24
Damodaran (2004), p. 29
Becker (1999), p. 63
Kummel(1995),p. 55
Merkle(2001),p.226
Wilde (1982), p. 467
Faust (2002), p. 75
Kunowski (2002), p. 70
Mercer (1992), p. 259
Rezaee(2001),p. 187
Strutz(1993),p. 86
Wariboko(1994),p.94
H6hmann(1998),p.92
Source: Own graphic
238 Appendices
Appendix 2: Forecast horizon for banks using a residual income approach
Residual income
Explicit forecast period, e.g., use of detailed bank budgets
Expected trends ( 4 - 7 years) • Revenue growth • Cost behavior • Equity requirements
n n_n
Intrinsic^ Economic^ value of ^ equity ^ bank today
Value of residual income from first 3 years
© Value of residual income from year 4 to 10
^ Continuing value ^ (value of business
beyond year 10)
Source: Own graphic
Appendices 239
Appendix 3: Methods for forecasting future bank performance
Forecasting methods
Qualitative forecasting methods
e.g., • Delphi interviews • Scenario techniques
• Arithmetic or • Absolute vs. • Linear models • Linear or moving averages relative growth • Exponential muhiple
• Financial ana- models regression lysis models
• One-stage or two-stage process
' Budgeted financial statements
Source: Own graphic following Hohmann (1998), p. 94
240 Appendices
Appendix 4: Overview of growth rates assumed in literature
Growth assumption
g - 0
g = inflation rate
g as value driver
Source
Becker (1999), p. 120
Faust (2002), p. 80
Geltinger (2003), p. 65 and p. 196
Merkle(2001),p. 230
Strutz(1993),p. 95
Vettiger(1996),p. 126
Adolfetal.(1989a), p. 548
Kummel(1995), p. 42
Behm(1994), p. 60
Bomer and Lowis (1997), p. 122
Source: Own graphic
Appendices 241
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244 Appendices
Appendix 8: Allocation of interest income using a matched-opportunity rate
Consolidated balance sheet
120 933
1.053
Lending operations
933
933
Deposit operations
Cash reserves 120 Loans to treasury 880
1,000
Treasury
Loans to lending 880
880
Income statement
Liabilities and
Deposits Equity
Debt to treasur\ Equity
Deposits
Debt to deposit
Interest income (12% x 933)
Interest expense (5% x 1,000)
Net interest income
equity
1,000 53
053
880 53
933
1,000
1.000
880
880
111.96
-5000
61.96
Calculation of income using a matched-opportunity rate (MOR)
Spread on loans
(12% x 933 - 9% x 880 - 0% x 53) or (12%-9%) X 933 + 9% x 53)
r+\ Spread on deposits
( 7 % X 880 + 0% X 120-5% x 1,000)
or (7%-5%) X 1,000 - 7% x 120)
( V ) Mismatch profits
( 9 % X 880-7% x 880)
0 Net interest income
17.60
61.96
Assumptions
Yield on 3-year loans 12%
MOR on 3-year loans 9%
Rates on I-year deposits 5 %
M O R on I-year deposits 7%
Source: Own exemplary calculation
Appendices 245
Appendix 9: Overview of key adjustments to valuation models
Model used Adjustments
•j3 (U
Author and year
o g
Adolfetal. (1989a) Becker, D.( 1999)
Bodmer(2001) Borner and Lowis (1997) Copeland et al. (2000) Damodaran (2004) Faust (2001) Geltinger (2003) H6hmann(1998) Horter(1998) Kirsten (2000) Koch (2002) Kummel(1995) Kunowski (2002) Matten (2000) Mercer (2002) Merkle(2001) MSDW(2001) Rezaee(2001) Strutz(1993) Uyemuraetal. (1997) Vettiger(1996) Zessin(1982)
X
X
X
X
X
(X)
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
X
(X)
X
X
X
X
X
X
X
(X)
X
X
yes yes yes yes yes yes yes yes yes yes yes yes yes yes yes yes
(yes) yes yes yes yes yes yes yes
n/a indirect indirect indirect indirect indirect indirect indirect indirect indirect indirect indirect indirect direct
indirect indirect
n/a indirect
n/a indirect indirect indirect direct
n/a
yes yes no yes yes yes yes n/a yes yes yes yes yes yes yes yes n/a yes n/a yes yes n/a yes n/a
3-10 5 - 7
3-10 casewise*
3 - 6 N/a***
5 5-10
n/a 10 3
casewise* n/a
5 - 7 5-10
3 5-10 3-10
5 5-10 5-10
n/a 3 - 6
4
g = inflation g = o
g = value driver casewise*
g = value driver casewise*
n/a g = 0 g = o
casewise* casewise* casewise*
n/a g = inflation
n/a n/a n/a
g = 0 g<0 n/a
g = o n/a
g = o n/a
OR** CAPM
CAPM/Other CAPM APT
CAPM CAPM CAPM CAPM CAPM CAPM
CFV/OR** CAPM/APT
CAPM CAPM CAPM CAPM CAPM CAPM CAPM
CAPM/APT CAPM
CAPM/APT OR**
* Parameter to be defined casewise based of the specifics of the individual bank
** Opportunity rate
*** General forecasting horizon of 5 - 10 years, bank-specific length of forecast horizon not defined
Source: Own table
246 Appendices
Appendix 10: Sample characteristics by year
Mean, Total sample, USD bn. N = 290 per year
Market value 5.6 5.9
4.3
3.2
1.9 2.2 2.3
1.4 1.7 1.7
6.3 5.7
1989 90 91 92 93 94 95 96 97 98 99 00 01 2002
Book equity 0.8 1.0 1.1 1.2 1.3 1.5 1.7 1.7 1.8 2.2 2.4 2.8 3.0 3.3
Total assets 16.6 20.0 22.6 23.2 25.1 28.9 32.9 34.8 36.9 46.2 49.1 55.8 57.7 63.6
ROE (percent) 12.0 10.9 11.1 9.9 11.3 11.1 12.1 11.7 11.9 5.5 6.5 11.3 10.5 8.8
Source: Own calculation
Appendices 247
Appendix 11: Distribution of sample banks by country
(2002)
Country
Canada
United States
North America - Subtotal
Austria
Belgium
Denmark
Finland
France
Germany
Greece
Ireland
Italy
Netherlands
Portugal
Spain
Sweden
Switzerland
United Kingdom
Europe - Subtotal
Hong Kong
Japan
Malaysia
Singapore
South Korea
Thailand
Asia - Subtotal
Grand Total
Number of banks
8
127
135
3
1
7
1
5
6
3
2
12
3
2
10
2
7
10
74
1
69
3
1
2
5
81
290
Market value (USD bn)
82.4
970.3
1,052.7
1
10
14.2
0.1
27.3
45.6
6.8
22.4
57.7
1.1
7.3
82.1
14.3
33.3
130.5
453.5
0.2
111.1
10.3
9.3
5.1
3.9
139.9
1,646.1
Share (percent)
7.8
92.2
100.0
0.2
2.2
3.1
0.0
6.0
10.0
1.5
4.9
12.7
0.2
1.6
18.1
3.1
7.3
28.8
100.0 0.0 0.1
79.5
7.3
6.7
3.6
2.8
100.0
Source: Own calculation
248 Appendices
Appendix 12: Distribution by bank type per region
2002, percent
Number of banks 135 290
Mortgage FinanceA^
Consumer F inance^ln^^f l
Investment Banks^
Banks 89
2^ -^100%
81 77 83
North Europe America
Asia Total Sample
Source: Own calculation
Appendices 249
Appendix 13: Sample coverage of DS banking indices by year
Average share of market value, percent
90
80
70
60
50
40
30
20
10
^
—.^_ -
^
\
-
1989 90 91 92 93 94 95 96
,_^^____^ / North America
^____-- Europe
- , _^ " Total Sample
Asia
Year
97 98 99 2000 01 2002
Source: DS, own calculation
250 Appendices
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Appendices 253
Appendix 17: Dispersion of the prediction errors by region and bank type
Total sample excluding Asia, 1989 - 1998
1 ]
0]
3rd Quartile-
1st Quartile-
— Maximum*
— Median
— Minimum*
— p - [ ^ Banks
llllllll Investment Banks
\iMM Consumer Finance
I B Mortgage Finance
North America
1,350
Europe
740
Source: Own calculation
254 Appendices
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Appendices 255
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256 Appendices
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Appendices 257
Appendix 21: Comparison of beta methodologies - European banks
Beta estimates, Europe
1.20
1.15
1.10
1.05
1.00
0.95
0.90
0.85
0 80
r
-
-
^^V.r^^ ' X/ 1989 90 91 92 93 94 95 96 97 98
/ Beta - Ex TMT
/ 1
1 1 • Beta - Normalized TMT /
/ . ' / '
1'/ ^^"""^ Standard beta
7
, , , , ,, 99 00 01 2002
Source: DS, own calculation
258 Appendices
Appendix 22: Sensitivity of IV to isolated accounting adjustments
(1989 - 1998, percent)
Statistic North America Europe Asia
Sensitivity of IV to adjustments for effective average taxes
N
Mean
Median
Standard Deviation
Interquartile Range
1,350
0.90
0.97
2.14
0.15
740
1.00
1.02
1.43
0.28
810
0.99
0.93
2.56
0.17
Sensitivity of IV to adjustments for deferred taxes
N
Mean
Median
Standard Deviation
Interquartile Range
1,350
0.90
1.00
0.26
0.02
740
1.00
1.00
0.09
0.01
810
0.99
1.00
1.41
0.00
Sensitivity of IV to adjustments for unrecorded goodwill
N
Mean
Median
Standard Deviation
Interquartile Range
1,350
1.03
1.00
0.21
0.00
740
N/a
N/a
N/a
N/a
810
N/a
N/a
N/a
N/a
Source: Own calculation
Appendices 259
Appendix 23: Average value creation by phase
1989-1998, percent
1 Value creation in Phase 2
Value creation in Phase 1
44
56
40
60
42
58
43
57
North Europe Asia Total America Sample
Source: Own calculation
260 Appendices
Appendix 24: Descriptive statistics of characteristics by subsample
(1998 -2003)
Statistic Equity'
(EUR mn) Assets
(EUR mn) ROE
(percent) Customers
(mn)
Universal Banks (N=120)
Mean
Median
Standard Deviation
Interquartile Range
4.205
3,014
3,365
3,651
92,087
63,933
81,919
62,409
15.8
14.5
13.1
13.4
5.2
4.0
4.2
4.3
Savings Banks (N=636)
Mean
Median
Standard Deviation
Interquartile Range
192
147
131
109
4,441
3,309
3,104
2,560
6.8
6.5
4.8
5.3
0.3
0.2
0.2
0.2
Source: Own calculation
Appendices 261
Appendix 25: Distribution of Universal Banks by country
(1998-2003)
Country
Belgium
France
Germany
Italy
Netherlands
Portugal
Spain
Sweden
Switzerland
UK
USA
Total
Number of banks
2
1
5
6
2
3
5
3
3
2
1
33
Equity (EUR bn)
22.5
12.6
61.0
101.7
45.6
36.2
54.8
69.2
73.3
9.8
52.5
539.1
Share (percent)
4
2
11
19
8
7
10
13
14
2
10
100
Source: Own calculation
262 Appendices
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Appendices 263
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264 Appendices
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266 Appendices
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Appendices 267
Appendix 31: Development of RIOE by sample
percent
Universal Banks
Savings Banks
-15 i -20
Median N
Median
N
3rdQuartile-
1 St Quartile -
1998
0.47
12
1.89
106
99
2.74
15
4.69
106
2000
6.70
24
-2.36
106
01
6.71
25
-4.20
106
02
4.72
26
-5.51
106
- Maximum*
- Median
- Minimum*
H Universal Banks I I Savings Banks
2003
7.35
18
-2.01
106
Year
* Outliers and extremes are excluded
Source: Own calculation
268 Appendices
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Appendices 269
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270 Appendices
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Appendices 271
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272 Appendices
Appendix 36: Specification tests of regression models
(Ho: coefficients are jointly
Regression model
insignificant => m
Distribution
odel is misspecified)
Test statistic p value*
Pooled regression
RIOE
income/Equity
Cost/Equity
LLP/Equity(l)
LLP/Equity (2)
F(6. 741)
F(6. 741)
F(6, 741)
F(6. 741)
F(5, 742)
96.05
24.38
48.20
688.91
1.04
0.00
0.00
0.00
0.00
0.39
Fixed Effects
RIOE
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
F(6, 607)
F(6. 607)
F(6. 607)
F(6, 607)
F(5, 608)
239.59
28.52
14.18
1,309.35
20.97
0.00
0.00
0.00
0.00
0.00
Between Effects
RIOE
Income/Equity
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
F(6, 128)
F(6, 128)
F(6, 128)
F(6, 128)
Ff5. 129)
11.00
10.19
13.30
55.08
1.58
0.00
0.00
0.00
0.00
0.17
Random Effects
RIOE
Income/Equity
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
t(6)
t(6)
t(6)
t(6)
t(5)
1,089.46
22.41
58.25
7,750.66
15.43
0.00
0.00
0.00
0.00
0.01
* According to the corresponding distribution with degrees of freedom as stated in parentheses; bold/? value suggests rejecting Ho.
Source: Stata, own calculation
Appendices 273
Appendix 37: Test for significance of fixed effects
(Ho: parameter homogeneity => fixed effects model is misspecified)
Regression model
RIOE
Income/Equity
Cost/Equity
LLP/Equity(l)
LLP/Equity (2)
F-statistic
10.57
23.62
29.70
11.66
4.15
* According to the F distribution with Num. bold/7 value suggests rejecting Ho.
Degrees of freedom
Num.
134
134
134
134
134
Denum.
607
607
607
607
608
and Denum. degrees of freedom;
p value*
0.00
0.00
0.00
0.00
0.00
Source: Stata, own calculation
Appendix 38: Hausman test for effect endogeneity
(Ho: regressors not correlated with c => random effects)
RIOE
Income/Equity
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
X^-statistic
176.96
634.77
236.19
43.49
87.79
* According to the -f- distribution with df degrees suggests rejecting Ho
df
6
6
6
6
5
of freedom; bold/?
p value*
0.00
0.00
0.00
0.00
0.00
value
Source: Stata, own calculations
274 Appendices
Appendix 39: LM test for serial correlation
(Ho is either that rho=0 if residuals are ARl or that lanida=0 if residuals are MAI)
Regression model Test statistic Distributed as p value*
(Ho: residual are A R l )
RIOE
Income/Equity
Cost/Equity
LLP/Equity(l)
LLP/Equity (2)
2.08
6.32
25.22
16.20
1.44
N(0,1)
N(OJ)
N(0,1)
N(0,1)
NfOJJ
0.15
0.01
0.00
0.00
0.23
(Ho: residual are MAI)
RIOE
Income/Equity
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
1.44
2.51
5.02
4.03
1.20
xV) xV) xV) xV) xV)
0.07
0.01
0.00
0.00
0.11
* According to the corresponding distribution with Num. and Denum. degrees of freedom; bold/? value suggests rejecting Ho.
Source: Stata, own calculation
Appendix 40: Modified Wald test for groupwise heteroscedasticity
(Ho: groupwise heteroskedasticity across panels)
Regression model Test statistic Df p value*
RIOE
Income/Equity
Cost/Equity
LLP/Equity (1)
LLP/Equity (2)
13,523.39
19,759.60
1.20E+32
95,184.77
120,000.00
135
135
135
135
135
0.00
0.00
0.00
0.00
0.00
* According to the y^ distribution with Df degrees of freedom; bold/? value suggests rejecting Ho.
Source: Stata, own calculation
Appendices 275
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