Impact investing Barber, Brad M.; Morse, Adair; Yasuda, Ayako
Journal of financial economics,
January 2021, 2021-01-00, 20210101, Letnik:
139, Številka:
1
Journal Article
Recenzirano
We show that investors derive nonpecuniary utility from investing in dual-objective Venture Capital (VC) funds, thus sacrificing returns. Impact funds earn 4.7 percentage points (ppts) lower internal ...rates of return (IRRs) ex-post than traditional VC funds. In random utility/willingness-to-pay (WTP) models investors accept 2.5–3.7 ppts lower IRRs ex ante for impact funds. The positive WTP result is robust to fund access rationing and investor heterogeneity in fund expected returns. Development organizations, foundations, financial institutions, public pensions, Europeans, and United Nations Principles of Responsible Investment signatories have high WTP. Investors with mission objectives and/or facing political pressure exhibit high WTP; those subject to legal restrictions (e.g., Employee Retirement Income Security Act) exhibit low WTP.
This paper studies the "confidential holdings" of institutional investors, especially hedge funds, where the quarter-end equity holdings are disclosed with a delay through amendments to Form 13F and ...are usually excluded from the standard databases. Funds managing large risky portfolios with nonconventional strategies seek confidentiality more frequently. Stocks in these holdings are disproportionately associated with information-sensitive events or share characteristics indicating greater information asymmetry. Confidential holdings exhibit superior performance up to 12 months, and tend to take longer to build. Together the evidence supports private information and the associated price impact as the dominant motives for confidentiality.
In this paper, we tackle the issue of evaluating an important class of green investing that integrate classical financial tasks with some environmental issues: the so-called green mutual funds.
In ...order to do this, we first propose three measures of environmental sustainability which may give financial agents information on the greenity of their investments. These alternative indicators could serve as an overall measure of environmental sustainability and overcome the drawback that limits the evaluation of green investments to the measurement of CO2 emissions while often more than one environmental aspects may be considered.
Secondly, we propose some models aimed at evaluating the performance of green mutual funds by taking into account the proposed environmental measures as well as some classical financial indicators. The analysis is carried out in a Data Envelopment Analysis (DEA) framework, since DEA models can consider strategic non-financial objective measures in addition to traditional financial metrics in order to give a more balanced view of socially responsible investments (SRI). The presented models include indicators of environmental sustainability in different ways, either by penalizing a high environmental consumption or by rewarding an environmental saving entailed by a low consumption. The environmental measures and the models proposed are applied to a set of European green funds in the periods 2012–2015 and 2010–2015 to conduct an extensive analysis.
•We propose indicators to measure the environmental saving/consumption of funds.•We evaluate the performance of green mutual funds with a DEA approach.•The DEA models proposed consider both environmental and financial indicators.•An empirical investigation is carried out on European green mutual funds.•A comparison of the performances of green and non-green funds is also conducted.
Runs on Money Market Mutual Funds Schmidt, Lawrence; Timmermann, Allan; Wermers, Russ
The American economic review,
09/2016, Letnik:
106, Številka:
9
Journal Article
Recenzirano
Odprti dostop
We study daily money market mutual fund flows at the individual share class level during September 2008. This fine granularity of data allows new insights into investor and portfolio holding ...characteristics conducive to run risk in cash-like asset pools. We find that cross-sectional flow data observed during the week of the Lehman failure are consistent with key implications of a simple model of coordination with incomplete information and strategic complementarities. Similar conclusions follow from daily models fitted to capture dynamic interactions between investors with differing levels of sophistication within the same money fund, holding constant the underlying portfolio.
This article aims at analyzing how controlling shareholders’ representatives on boards affect corporate social responsibility (CSR) strategies (disclosing CSR matters) in Spain, a context ...characterized by high ownership concentration, one-tier boards, little board independence, weak legal protection for investors, and the presence of large shareholders, especially institutional shareholders. Furthermore, among controlling shareholders’ representatives, we can distinguish between those appointed by insurance companies and banks and those appointed by mutual funds, investment funds, and pension funds. The effect of these categories of directors on CSR strategies is, therefore, also analyzed. Our findings suggest that controlling shareholders’ representatives have a positive effect on CSR strategies, as do directors appointed by investment funds, pension funds, and mutual funds, while directors appointed by banks and insurance companies have no impact on CSR strategies. This analysis offers new insights into the role played by certain types of directors on CSR strategies.
Purpose
This paper aims to analyze the portfolio characteristics and the performance measures of sustainability-themed mutual funds, compared to ethical mutual funds that implement different ...sustainable and responsible investment strategies.
Design/methodology/approach
The study refers to a European sample of 106 ethical funds and 51 sustainability-themed funds. The monthly performance of each fund is downloaded from Bloomberg for the period from January 1996 to December 2015. By applying a Fama and French (1993) three-factor model, the authors overcome the limits of a capital asset pricing model (CAPM) based-single index model, to compare the performance of the two categories of funds.
Findings
Sustainability-themed funds do not differ significantly from ethical funds in terms of portfolio attributes, except for market capitalization, age and net asset value. Regarding performance measures, the results shows that sustainability-themed funds have a lower underperformance than ethical funds (as measured by Jensen’s alpha), whereas the samples do not differ in terms of market risk (as measured by Beta coefficient). The idiosyncratic risk of sustainability-themed funds is positively influenced by the specific portfolio strategies. The sustainability-themed funds show a higher concentration in the industrial sector and a lower exposure to financial sector than ethical funds; in terms of geographical strategy, they are more global and international oriented; they mainly focus on small caps and value stocks.
Research limitations/implications
The different sustainable and responsible investment strategies can be applied simultaneously and in a growing number of possible combinations. Mutual fund managers can consider thematic approach as an efficient opportunity for reconciling financial performance and economic sustainability. It is demonstrated that sustainability-themed funds adopt a portfolio strategy significantly different from ethical funds and from the environmental, social and governance benchmarks. Mutual fund managers implement a thematic specialization without any negative impact on the funds returns compared to ethical funds; actually, with a proper diversified portfolio, they are able to reduce idiosyncratic risk.
Originality/value
The analysis is extremely innovative, especially for the thematic sample. During the past 15 years, literature about sustainable and responsible investment has been focused especially on the differences in terms of risk and performance between socially responsible and conventional funds. This paper, starting from the methodology applied in these studies, wants to compare two different types of socially responsible strategies, with a specific focus on sustainability-themed mutual funds, given their exponential growth in the past few years.
We use daily Internet search volume from millions of households to reveal market-level sentiment. By aggregating the volume of queries related to household concerns (e.g., "recession," ..."unemployment," and "bankruptcy"), we construct a Financial and Economic Attitudes Revealed by Search (FEARS) index as a new measure of investor sentiment. Between 2004 and 2011, we find FEARS (i) predict short-term return reversals, (ii) predict temporary increases in volatility, and (iii) predict mutual fund flows out of equity funds and into bond funds. Taken together, the results are broadly consistent with theories of investor sentiment.
This paper provides a comprehensive examination of money flows in corporate bond funds, which, although less researched, represent an important setting to study investor behavior. Based on a large ...sample of corporate bond funds over 1991–2014, we first show that flows are sensitive to both fund performance and macroeconomic conditions, but unlike equity funds, the flow–performance relationship is not convex. Then, we find that investor flows can predict fund performance. More importantly, the predictability cannot be explained by return momentum or price pressure but is subsumed by performance persistence. Finally, an examination of idiosyncratic flows reveals little evidence that fund investors use finer-than-public information.
This paper was accepted by Lauren Cohen, finance
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Blockchain Basics Drescher, Daniel
2017, 2017-03-14T00:00:00, 2017-03-14, 2017.
eBook
In 25 concise steps, you will learn the basics of blockchain technology. No mathematical formulas, program code, or computer science jargon are used. No previous knowledge in computer science, ...mathematics, programming, or cryptography is required. Terminology is explained through pictures, analogies, and metaphors.This book bridges the gap that exists between purely technical books about the blockchain and purely business-focused books. It does so by explaining both the technical concepts that make up the blockchain and their role in business-relevant applications.What You'll LearnWhat the blockchain isWhy it is needed and what problem it solvesWhy there is so much excitement about the blockchain and its potentialMajor components and their purposeHow various components of the blockchain work and interactLimitations, why they exist, and what has been done to overcome themMajor application scenariosWho This Book Is ForEveryone who wants to get a general idea of what blockchain technology is, how it works, and how it will potentially change the financial system as we know it
This paper investigates whether mutual fund families acting as service providers in 401(k) plans display favoritism toward their own affiliated funds. Using a handcollected data set on the menu of ...investment options offered to plan participants, we show that fund deletions and additions are less sensitive to prior performance for affiliated than unaffiliated funds. We find no evidence that plan participants undo this affiliation bias through their investment choices. Finally, we find that the subsequent performance of poorly performing affiliated funds indicates that this favoritism is not information driven.
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