Quantifying the Impact of Impact Investing
References
- (2008) The cost of socially responsible investing. J. Portfolio Management 35(1):52–56.Crossref, Google Scholar
- (2014) Financial intermediaries and the cross-section of asset returns. J. Finance 69(6):2557–2596.Crossref, Google Scholar
- (2019) Corporate social responsibility and firm risk: Theory and empirical evidence. Management Sci. 65(10):4451–4469.Link, Google Scholar
- (2016) Governance and climate change: A success story in mobilizing investor support for corporate responses to climate change. J. Appl. Corporate Finance 28(2):29–33.Crossref, Google Scholar
- (2022) Climate change concerns and the performance of green vs. brown stocks. Management Sci., ePub ahead of print December 16, https://doi.org/10.1287/mnsc.2022.4636.Google Scholar
- (2015) Fama–Macbeth two-pass regressions: Improving risk premia estimates. Finance Res. Lett. 15:31–40.Crossref, Google Scholar
- (2022) The pricing and ownership of US green bonds. Annual Rev. Financial Econom. 14:415–437.Crossref, Google Scholar
- (2022) Socially responsible investing in good and bad times. Rev. Financial Stud. 35(4):2067–2099.Crossref, Google Scholar
- (2021) Impact investing. J. Financial Econom. 139(1):162–185.Crossref, Google Scholar
- (2015) The long-term effects of hedge fund activism. Columbia Law Rev. 115:1085–1156.Google Scholar
- (2013) Learning and the disappearing association between governance and returns. J. Financial Econom. 108(2):323–348.Crossref, Google Scholar
- (2022a) Aggregate confusion: The divergence of ESG ratings. Rev. Finance 26(6):1315–1344.Crossref, Google Scholar
- (2022b) ESG confusion and stock returns: Tackling the problem of noise. Preprint, submitted October 12, http://dx.doi.org/10.2139/ssrn.3941514.Google Scholar
- (2022c) Quantifying the impact of impact investing: An empirical analysis with six ESG metrics. MIT working paper, MIT, Cambridge, MA.Google Scholar
- (2021) The impact of impact investing. Preprint, submitted August 21, http://dx.doi.org/10.2139/ssrn.3909166.Google Scholar
- (1998) Optimal control of execution costs. J. Financial Marketing 1(1):1–50.Crossref, Google Scholar
- (1974) Convergence of sample paths of normalized sums of induced order statistics. Ann. Statist. 2(5):1034–1039.Crossref, Google Scholar
- (2017) Sin stocks revisited: Resolving the sin stock anomaly. J. Portfolio Management 44(1):105–111.Crossref, Google Scholar
- (2021) Do investors care about carbon risk? J. Financial Econom. 142(2):517–549.Crossref, Google Scholar
- (2015) The real effects of hedge fund activism: Productivity, asset allocation, and labor outcomes. Rev. Financial Stud. 28(10):2723–2769.Crossref, Google Scholar
- (1986) Determinants of portfolio performance. Financial Anal. J. 42(4):39–44.Crossref, Google Scholar
- (2009) Sparse and stable Markowitz portfolios. Proc. Natl. Acad. Sci. USA 106(30):12267–12272.Crossref, Google Scholar
- (1997) The Econometrics of Financial Markets (Princeton University Press, Princeton, NJ).Crossref, Google Scholar
- (2020) An integrated approach to quantitative ESG investing. J. Portfolio Management 46(3):65–74.Crossref, Google Scholar
- (1986) Economic forces and the stock market. J. Bus. 59:383–403.Crossref, Google Scholar
- (2009) Asset Pricing, revised ed. (Princeton University Press, Princeton, NJ).Google Scholar
- (2012) Efficient semiparametric estimation of the Fama–French model and extensions. Econometrica 80(2):713–754.Crossref, Google Scholar
- (2020) Valuing ESG: Doing good or sounding good? J. Impact ESG Investing 1(1):76–93.Crossref, Google Scholar
- (1973) Concomitants of order statistics. Bull. Internat. Statist. Inst. 45(1):295–300.Google Scholar
- (2004) Order Statistics (John Wiley & Sons, Hoboken, NJ).Google Scholar
- (2015) Active ownership. Rev. Financial Stud. 28(12):3225–3268.Crossref, Google Scholar
- (2015) Measuring the level and risk of corporate responsibility—An empirical comparison of different ESG ratings approaches. J. Asset Management 17(7):450–466.Crossref, Google Scholar
- (1982) Mean-variance theory in complete markets. J. Bus. 55:233–251.Crossref, Google Scholar
- (2008) Sin stock returns. J. Portfolio Management 35(1):82–94.Crossref, Google Scholar
- (2013) Can financial engineering cure cancer? Amer. Econom. Rev. 103(3):406–411.Crossref, Google Scholar
- (1993) Common risk factors in the returns on stocks and bonds. J. Financial Econom. 33(1):3–56.Crossref, Google Scholar
- (2007) Disagreement, tastes, and asset prices. J. Financial Econom. 83(3):667–689.Crossref, Google Scholar
- (2015) A five-factor asset pricing model. J. Financial Econom. 116(1):1–22.Crossref, Google Scholar
- (1973) Risk, return, and equilibrium: Empirical tests. J. Political Econom. 81(3):607–636.Crossref, Google Scholar
- (2020) Taming the factor zoo: A test of new factors. J. Finance 75(3):1327–1370.Crossref, Google Scholar
- (1991) The variation of economic risk premiums. J. Political Econom. 99(2):385–415.Crossref, Google Scholar
- (2016) Taste, information, and asset prices: Implications for the valuation of CSR. Rev. Accounting Stud. 21(3):740–767.Crossref, Google Scholar
- (2016) Time-varying risk premium in large cross-sectional equity data sets. Econometrica 84(3):985–1046.Crossref, Google Scholar
- (2019) A diagnostic criterion for approximate factor structure. J. Econometrics 212(2):503–521.Crossref, Google Scholar
- (2021) Investing in socially responsible mutual funds. Rev. Asset Pricing Stud. 11(2):309–351.Crossref, Google Scholar
- (2021) On ESG investing: Heterogeneous preferences, information, and asset prices. Preprint, submitted April 3, http://dx.doi.org/10.2139/ssrn.3823042.Google Scholar
- (1989) The fundamental law of active management. J. Portfolio Management 15(3):30–37.Crossref, Google Scholar
- (1994) Alpha is volatility times IC times score. J. Portfolio Management 20(4):9–126.Crossref, Google Scholar
- (1999) Active Portfolio Management: A Quantitative Approach for Producing Superior Returns and Controlling Risk, 2nd ed. (McGraw-Hill Education, New York).Google Scholar
- (2019) Advances in Active Portfolio Management: New Developments in Quantitative Investing (McGraw Hill Professional, New York).Google Scholar
- (1980) On the impossibility of informationally efficient markets. Amer. Econom. Rev. 70(3):393–408.Google Scholar
- (2020) Empirical asset pricing via machine learning. Rev. Financial Stud. 33(5):2223–2273.Crossref, Google Scholar
- (2016) … and the cross-section of expected returns. Rev. Financial Stud. 29(1):5–68.Crossref, Google Scholar
- (2017) Intermediary asset pricing: New evidence from many asset classes. J. Financial Econom. 126(1):1–35.Crossref, Google Scholar
- (2001) The effect of green investment on corporate behavior. J. Financial Quant. Anal. 36(4):431–449.Crossref, Google Scholar
- (2009) The price of sin: The effects of social norms on markets. J. Financial Econom. 93(1):15–36.Crossref, Google Scholar
- (2015) Digesting anomalies: An investment approach. Rev. Financial Stud. 28(3):650–705.Crossref, Google Scholar
- (2020) Replicating anomalies. Rev. Financial Stud. 33(5):2019–2133.Crossref, Google Scholar
- (2021) The popularity asset pricing model. Preprint, submitted October 25, http://dx.doi.org/10.2139/ssrn.3451554.Google Scholar
- (1996a) High-tech R&D subsidies estimating the effects of Sematech. J. Internat. Econom. 40(3–4):323–344.Crossref, Google Scholar
- (1996b) Sematech: Purpose and performance. Proc. Natl. Acad. Sci. USA 93(23):12739–12742.Crossref, Google Scholar
- (1996) The conditional CAPM and the cross-section of expected returns. J. Finance 51(1):3–53.Crossref, Google Scholar
- (1993) Returns to buying winners and selling losers: Implications for stock market efficiency. J. Finance 48(1):65–91.Crossref, Google Scholar
- (2019) Venture philanthropy: A case study of the cystic fibrosis foundation. Preprint, submitted April 23, http://dx.doi.org/10.2139/ssrn.3376673.Google Scholar
- (2020) Beta dispersion and market timing. J. Empirical Finance 59:235–256.Crossref, Google Scholar
- (2001) Consumption, aggregate wealth, and expected stock returns. J. Finance 56(3):815–849.Crossref, Google Scholar
- (1997) Virtuous capital: What foundations can learn from venture capitalists. Harvard Bus. Rev. 75:36–50.Google Scholar
- (2010) A skeptical appraisal of asset pricing tests. J. Financial Econom. 96(2):175–194.Crossref, Google Scholar
- (1996) Estimating the benefits from collaboration: The case of Sematech. Rev. Indust. Organ. 11(5):737–751.Crossref, Google Scholar
- (1965) The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. Rev. Econom. Statist. 47(1):13–37.Crossref, Google Scholar
- (2004) The adaptive markets hypothesis. J. Portfolio Management 30(5):15–29.Crossref, Google Scholar
- (2017) Adaptive Markets: Financial Evolution at the Speed of Thought (Princeton University Press, Princeton, NJ).Google Scholar
- (1990) Data-snooping biases in tests of financial asset pricing models. Rev. Financial Stud. 3(3):431–467.Crossref, Google Scholar
- (2019) Risk and reward in the orphan drug industry. J. Portfolio Management 45(5):30–45.Crossref, Google Scholar
- (2022a) Measuring and optimizing the risk and reward of green portfolios. J. Impact ESG Investing 3(2):55–93.Crossref, Google Scholar
- (2022b) Optimal impact portfolios with general dependence and marginals. Preprint, submitted July 31, http://dx.doi.org/10.2139/ssrn.4177277.Google Scholar
- (2017) Social screens and systematic investor boycott risk. J. Financial Quant. Anal. 52(1):365–399.Crossref, Google Scholar
- (1987) On multivariate tests of the CAPM. J. Financial Econom. 18(2):341–371.Crossref, Google Scholar
- (2021) Toward ESG alpha: Analyzing ESG exposures through a factor lens. Financial Anal. J. 77(1):69–88.Crossref, Google Scholar
- (1973) An intertemporal capital asset pricing model. Econometrica 41(5):867–887.Crossref, Google Scholar
- (1987) A simple model of capital market equilibrium with incomplete information. J. Finance 42(3):483–510.Crossref, Google Scholar
- (1999) Costs of equity capital and model mispricing. J. Finance 54(1):67–121.Crossref, Google Scholar
- (2003) Liquidity risk and expected stock returns. J. Political Econom. 111(3):642–685.Crossref, Google Scholar
- (2021) Sustainable investing in equilibrium. J. Financial Econom. 142(2):550–571.Crossref, Google Scholar
- (2022) Dissecting green returns. J. Financial Econom. 146(2):403–424.Crossref, Google Scholar
- (2022) Game on: Social networks and markets. J. Financial Econom. 146(3):1097–1119.Crossref, Google Scholar
- (2021) Responsible investing: The ESG-efficient frontier. J. Financial Econom. 142(2):572–597.Crossref, Google Scholar
- (2020) Testing beta-pricing models using large cross-sections. Rev. Financial Stud. 33(6):2796–2842.Crossref, Google Scholar
- (1976) The arbitrage theory of capital asset pricing. J. Econom. Theory 13(3):341–360.Crossref, Google Scholar
- (1978) A simple approach to the valuation of risky streams. J. Bus. 51(3):453–475.Crossref, Google Scholar
- (2015) On the validity of environmental performance metrics. J. Bus. Ethics 132(2):249–258.Crossref, Google Scholar
- (1992) On the estimation of beta-pricing models. Rev. Financial Stud. 5(1):1–33.Crossref, Google Scholar
- (2017) Convergence: The future of health. Science 355(6325):589.Crossref, Google Scholar
- (1964) Capital asset prices: A theory of market equilibrium under conditions of risk. J. Finance 19(3):425–442.Google Scholar
- (1966) Mutual fund performance. J. Bus. 39(1):119–138.Crossref, Google Scholar
- (2005) Irrational Exuberance, 2nd ed. (Princeton University Press, Princeton, NJ).Google Scholar
- (2021) The quantitative approach for sustainable investing. J. Portfolio Management 47(8):38–49.Crossref, Google Scholar
- (1994) Performance measurement in a downside risk framework. J. Investing 3(3):59–64.Crossref, Google Scholar
- (1991) Downside risk. J. Portfolio Management 17(4):27–31.Crossref, Google Scholar
- (2009) The wages of social responsibility. Financial Anal. J. 65(4):33–46.Crossref, Google Scholar
- (2017) Just how good an investment is the biopharmaceutical sector? Nature Biotechnology 35(12):1149–1157.Crossref, Google Scholar
- (1973) How to use security analysis to improve portfolio selection. J. Bus. 46(1):66–86.Crossref, Google Scholar
- (2011) Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies. J. Financial Econom. 99(1):204–215.Crossref, Google Scholar
- (2006) A consumption-based explanation of expected stock returns. J. Finance 61(2):539–580.Crossref, Google Scholar
- (2022) A sustainable capital asset pricing model (S-CAPM): Evidence from environmental integration and sin stock exclusion. Rev. Finance 26(6):1345–1388.Crossref, Google Scholar

