社会企业投资基金的风险与回报

IF 10.4 1区经济学 Q1 BUSINESS, FINANCE

Journal of Financial Economics Pub Date : 2024-08-30 DOI:10.1016/j.jfineco.2024.103928

{"title":"社会企业投资基金的风险与回报","authors":"","doi":"10.1016/j.jfineco.2024.103928","DOIUrl":null,"url":null,"abstract":"<div><p>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 <span><math><mi>β</mi></math></span> than comparable private market strategies. Accounting for <span><math><mi>β</mi></math></span>, 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.</p></div>","PeriodicalId":51346,"journal":{"name":"Journal of Financial Economics","volume":null,"pages":null},"PeriodicalIF":10.4000,"publicationDate":"2024-08-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"The risk and return of impact investing funds\",\"authors\":\"\",\"doi\":\"10.1016/j.jfineco.2024.103928\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>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 <span><math><mi>β</mi></math></span> than comparable private market strategies. Accounting for <span><math><mi>β</mi></math></span>, 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.</p></div>\",\"PeriodicalId\":51346,\"journal\":{\"name\":\"Journal of Financial Economics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":10.4000,\"publicationDate\":\"2024-08-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Financial Economics\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0304405X2400151X\",\"RegionNum\":1,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Financial Economics","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0304405X2400151X","RegionNum":1,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们首次分析了社会企业投资基金（具有双重财务和社会目标的私人市场基金）的风险敞口和风险调整后绩效。我们引入了一个社会企业基金现金流数据集，并利用风险投资业绩衡量标准的扭曲来描述风险状况。与可比的私人市场策略相比，社会企业基金的市场 β 较低。考虑到 β，社会企业基金的表现低于公开市场，但并不一定高于可比策略。我们考虑了可持续发展和新兴市场风险的替代定价模型。我们表明，投资者的财富组合和品味会改变他们对社会企业投资的财务优势的看法。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

The risk and return of impact investing funds

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 $β$ than comparable private market strategies. Accounting for $β$ , 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.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Journal of Financial Economics Multiple-

CiteScore

15.80

自引率

4.50%

发文量

192

审稿时长

37 days

期刊介绍： The Journal of Financial Economics provides a specialized forum for the publication of research in the area of financial economics and the theory of the firm, placing primary emphasis on the highest quality analytical, empirical, and clinical contributions in the following major areas: capital markets, financial institutions, corporate finance, corporate governance, and the economics of organizations.