The Risk and Return of Impact Investing Funds

(with Jessica Jeffers and Kelly Posenau), September 2023

Conditionally accepted, Journal of Financial Economics

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.

Taking the Road Less Traveled: How Does Market Misreaction Impact Innovation Directions?

(with Zunda Winston Xu), August 2023

What do Investors Overreact to? An Empirical Analysis of Long-Term Earnings Growth Forecast

November 2022