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

Ali Murad Syed (1) , Abdourahmane Diaw (1) , Mouna Kessentini (1)

1 LED - Laboratoire d'Economie Dionysien

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.

Mots clés: bear market; market conditions.; Performance evaluation; Modified Sharp ratio; Socially Responsible Investing; Sharp ratio; Beta; Jensen’s Alpha

Domaines: Économie et finance quantitative [q-fin]

Ali Murad Syed, Abdourahmane Diaw, Mouna Kessentini. Liquidity Risk and Credit Supply during the Financial Crisis: The Case of German Banks. 2015. ⟨hal-01184527⟩