Liquidity Risk and Credit Supply during the Financial Crisis: The Case of German Banks

Ali Murad Syed, Abdourahmane Diaw and Mouna Kessentini ()
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Ali Murad Syed: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis
Mouna Kessentini: LED - Laboratoire d'Economie Dionysien - UP8 - Université Paris 8 Vincennes-Saint-Denis

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Abstract: This study provides the evidence of the performance of SRI funds in the UK and in France both before and during the financial crisis. We find that in the pre-crisis (2004-2007) period all French and UK funds outperformed the market. According to the modified Sharpe ratio, French and UK funds also outperformed during the crisis period (2007-2009) when compared with relative market benchmarks. This result is not confirmed by the Jensen alpha or the Treynor ratio, but these instruments did not indicate significant underperformance. Overall, our results show that while there is no significant difference in financial performance between SRI funds and non-SRI funds.

Keywords: bear market; market conditions.; Performance evaluation; Modified Sharp ratio; Socially Responsible Investing; Sharp ratio; Beta; Jensen’s Alpha (search for similar items in EconPapers)
Date: 2015-08-17
New Economics Papers: this item is included in nep-ger
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