Abstract
Banking profitability has been a theme of study in many countries. In Brazil, research on this area has been concentrated in studying banking spread, usually testing economic variables as drivers. The present study has the aim of finding the determinants of bank profitability in Brazil, measured by return on assets (ROA) and return on equity (ROE) by testing economic, accounting and operating factors as explanatory variables. Using a sample with the 50 largest banks and considering the data referring to end-of-semester financial statements from December 2000 to December 2009, we test nine research hypotheses. The results, estimated in panel data by the method of GMM show that bank profitability is not entirely contemporaneous since it presents inertial behavior (relationship with its lagged value) and also a statistically positive and relevant relationship with the economy’s basic interest rate, with the level of economic activity, with the level of tax burden, with the institutions’ operating efficiency, and with the relative participation of domestic banks as expected. We also found a negative relationship with changes in the exchange rate, which diverges from the a priori expectations. Additionally, we show that bank profitability holds a relationship with the level of inflation, which is positive or negative depending on the model utilized. However, we could not find relevant relationships between bank profitability and the level of compulsory deposits and cash holdings, neither with the relative participation of state-owned versus privately-owned banking institutions. The results obtained with ROE or ROA as alternative proxies for profitability are virtually equivalent, which gives robustness to the outcomes.Key words: banks, profitability, financial institutions, ROA, ROE.
Highlights
INTRODUÇÃO A rentabilidade dos bancos que atuam no Brasil há muito está em evidência no meio acadêmico/científico e, sobretudo, na mídia
We show that bank profitability holds a relationship with the level of inflation, which is positive or negative depending on the model utilized
Em relação aos determinantes da rentabilidade diretamente relacionados com as hipóteses de pesquisa, de acordo com as estatísticas t e com o nível de relevância estatística dos parâmetros evidenciados na Tabela 3, os testes realizados com os modelos estatísticos e dinâmicos e considerando o return on equity (ROE) ou o resultado sobre o ativo (ROA) como proxies de rentabilidade apresentam resultados relativamente equivalentes
Summary
No Brasil, as pesquisas têm se concentrado no estudo do spread bancário, geralmente avaliando variáveis econômicas como direcionadores. Este trabalho tem por fim analisar os determinantes da rentabilidade bancária no Brasil, medida pelos retornos sobre os ativos (ROA) e sobre o patrimônio líquido (ROE), tendo como variáveis explicativas fatores econômicos, contábeis e operacionais da atividade bancária. Com uma amostra dos 50 maiores bancos e considerando os dados das demonstrações semestrais encerradas entre dezembro de 2000 e dezembro de 2009, são testadas nove hipóteses de pesquisa. Não foram encontradas relações relevantes com o nível de depósitos compulsórios e de encaixe obrigatório, nem com a participação de instituições bancárias estatais ou privadas. Os resultados apurados com a utilização do ROE ou do ROA como proxies de rentabilidade são praticamente equivalentes, o que se constitui num elemento de robustez dos resultados.
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