The determinants of bank profitability and risk: A random forest approach

References

• Angbazo, L. (1997). Commercial bank net interest margins, default risk, interest-rate risk, and off-balance sheet banking. Journal of Banking & Finance, 21(1), 55–15. https://doi.org/10.1016/S0378-4266(96)00025-8
   Web of Science ®Google Scholar
• Ash, D.-K., & Huizinga, H. (1999). Determinants of commercial bank interest margins and profitability: Some international evidence. The World Bank Economic Review, 13(2), 379–408. https://doi.org/10.1093/wber/13.2.379
   Web of Science ®Google Scholar
• Athanasoglou, P. P., Brissimis, S. N., & Delis, M. D. (2008). Bank-specific, industry-specific and macroeconomic determinants of bank profitability. Journal of International Financial Markets, Institutions and Money, 18(2), 121–136. https://doi.org/10.1016/j.intfin.2006.07.001
   Google Scholar
• Berger, A. N., & Bouwman, C. H. S. (2013). How does capital affect bank performance during financial crises? Journal of Financial Economics, 109(1), 146–176. https://doi.org/10.1016/j.jfineco.2013.02.008
   Web of Science ®Google Scholar
• Berger, A. N., Klapper, L. F., & Turk-Ariss, R. (2009). Bank competition and financial stability. Journal of Financial Services Research, 35(2), 99–118. https://doi.org/10.1007/s10693-008-0050-7
   Web of Science ®Google Scholar
• Biau, G., & Scornet, E. (2016). A random forest guided tour. TEST, 25(2), 197–227. https://doi.org/10.1007/s11749-016-0481-7
   Web of Science ®Google Scholar
• Bolt, W., de Haan, L., Hoeberichts, M., van Oordt, M. R. C., & Swank, J. (2012). Bank profitability during recessions. Journal of Banking & Finance, 36(9), 2552–2564. https://doi.org/10.1016/j.jbankfin.2012.05.011
   Web of Science ®Google Scholar
• Bourke, P. (1989). Concentration and other determinants of bank profitability in Europe, North America and Australia. Journal of Banking & Finance, 13(1), 65–79. https://doi.org/10.1016/0378-4266(89)90020-4
   Web of Science ®Google Scholar
• Breiman, L. (2001). Random forests. Machine Learning, 45(1), 5–32. https://doi.org/10.1023/A:1010933404324
   Web of Science ®Google Scholar
• Claeys, S., & Vander Vennet, R. (2008). Determinants of bank interest margins in Central and Eastern Europe: A comparison with the West. Economic Systems, 32(2), 197–216. https://doi.org/10.1016/j.ecosys.2007.04.001
   Google Scholar
• Dietrich, A., & Wanzenried, G. (2014). The determinants of commercial banking profitability in low-, middle-, and high-income countries. The Quarterly Review of Economics and Finance, 54(3), 337–354. https://doi.org/10.1016/j.qref.2014.03.001
   Google Scholar
• Friedman, J. H., & Meulman, J. J. (2003). Multiple additive regression trees with application in epidemiology. Statistics in Medicine, 22(9), 1365–1381. https://doi.org/10.1002/sim.1501
   PubMed Web of Science ®Google Scholar
• Goddard, J., Molyneux, P., & Wilson, J. O. S. (2004). The profitability of European banks: A cross-sectional and dynamic panel analysis. The Manchester School, 72(3), 363–381. https://doi.org/10.1111/j.1467-9957.2004.00397.x
   Web of Science ®Google Scholar
• Hastie, T., Tibshirani, R., & Friedman, J. (2009). The elements of statistical learning: Data mining, inference, and prediction. Springer Science & Business Media.
   Google Scholar
• Jones, S., Johnstone, D., & Wilson, R. (2017). Predicting corporate bankruptcy: An evaluation of alternative statistical frameworks. Journal of Business Finance & Accounting, 44(1–2), 3–34. https://doi.org/10.1111/jbfa.12218
   Web of Science ®Google Scholar
• Li, X., Feng, H., Zhao, S., & Carter, D. A. (2021). The effect of revenue diversification on bank profitability and risk during the COVID-19 pandemic. Finance Research Letters, 101957.
   Google Scholar
• Maudos, J., & Solís, L. (2009). The determinants of net interest income in the Mexican banking system: An integrated model. Journal of Banking & Finance, 33(10), 1920–1931. https://doi.org/10.1016/j.jbankfin.2009.04.012
   Web of Science ®Google Scholar
• Maudos, J. (2017). Income structure, profitability and risk in the European banking sector: The impact of the crisis. Research in International Business and Finance, 39, 85–101. https://doi.org/10.1016/j.ribaf.2016.07.034
   Web of Science ®Google Scholar
• Mirzaei, A., Moore, T., & Liu, G. (2013). Does market structure matter on banks’ profitability and stability? Emerging vs. advanced economies. Journal of Banking & Finance, 37(8), 2920–2937. https://doi.org/10.1016/j.jbankfin.2013.04.031
   Web of Science ®Google Scholar
• Molyneux, P., & Thornton, J. (1992). Determinants of European bank profitability: A note. Journal of Banking & Finance, 16(6), 1173–1178. https://doi.org/10.1016/0378-4266(92)90065-8
   Web of Science ®Google Scholar
• Pasiouras, F., & Kosmidou, K. (2007). Factors influencing the profitability of domestic and foreign commercial banks in the European Union. Research in International Business and Finance, 21(2), 222–237. https://doi.org/10.1016/j.ribaf.2006.03.007
   Google Scholar
• Saunders, A., & Schumacher, L. (2000). The determinants of bank interest rate margins: An international study. Journal of International Money and Finance, 19(6), 813–832. https://doi.org/10.1016/S0261-5606(00)00033-4
   Web of Science ®Google Scholar
• Short, B. K. (1979). The relation between commercial bank profit rates and banking concentration in Canada, Western Europe, and Japan. Journal of Banking & Finance, 3(3), 209–219. https://doi.org/10.1016/0378-4266(79)90016-5
   Google Scholar
• Tregenna, F. (2009). The fat years: The structure and profitability of the US banking sector in the pre-crisis period. Cambridge Journal of Economics, 33(4), 609–632. https://doi.org/10.1093/cje/bep025
   Web of Science ®Google Scholar
• Valverde, S. C., & Fernández, F. R. (2007). The determinants of bank margins in European banking. Journal of Banking & Finance, 31(7), 2043–2063. https://doi.org/10.1016/j.jbankfin.2006.06.017
   Web of Science ®Google Scholar
• Yanikkaya, H., Gumus, N., & Pabuccu, Y. U. (2018). How profitability differs between conventional and Islamic banks: A dynamic panel data approach. Pacific-Basin Finance Journal, 48, 99–111. https://doi.org/10.1016/j.pacfin.2018.01.006
   Web of Science ®Google Scholar