The risk and return of impact investing funds

• 成果类型: Article
• 署名作者: Jeffers, Jessica; Lyu, Tianshu; Posenau, Kelly
• 署名单位: Hautes Etudes Commerciales (HEC) Paris; Yale University; Cornell University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2024.103928
• 发表日期: 2024
• 关键词: Impact investing; Sustainable investing; RISK; venture capital; ESG

摘要

We provide the first analysis of the risk exposure and risk-adjusted performance of impact investing funds, private market funds with dual financial and social goals. We introduce a dataset of impact fund cash flows and exploit distortions in VC performance measures to characterize risk profiles. Impact funds have a lower market /i than comparable private market strategies. Accounting for /i , impact funds underperform the public market, though not necessarily more so than comparable strategies. We consider alternative pricing models, accounting for sustainability and emerging markets risk. We show investors' wealth portfolios and taste change the perceived financial merit of impact investing.