Liquidity Risk and Credit Supply during the Financial Crisis: The Case of German Banks
Résumé
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.
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Liquidity Risk and Credit Supply.pdf (337.89 Ko)
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Liquidity Risk and Credit Supply (1).pdf (337.89 Ko)
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Origine : Fichiers produits par l'(les) auteur(s)
Origine : Fichiers produits par l'(les) auteur(s)
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