【JFE】The Impact of Impact Investing 影响力投资的效应——李子博分享

科研基地组织前沿文献研读交流会，李子博针对2025年发表于国际金融顶刊Journal of Financial Economics的论文The Impact of Impact Investing进行主题分享。

撤资策略引发的资本成本变动，可通过由三个参数构成的简易函数进行精准拟合：(1) 社会责任导向资金的占比；(2) 经济体中目标企业的占比；(3) 目标企业与股票市场其余部分之间的收益率相关系数。基于当前数据校准参数后，研究证明撤资策略对资本成本的影响微乎其微，不足以对实际投资决策产生实质性影响。文章进一步推导出了该策略产生实质性影响所需的条件。文章通过研究企业ESG状况的变化，从实证角度验证了理论结果，未能观测到ESG撤资策略对目标企业资本成本存在显著作用。研究结果表明，若社会责任投资者想要切实发挥影响力，不应采取撤资策略，而是通过持股投资、行使控制权来改变企业政策。

ABSTRACT

The change in the cost of capital that results from a divestiture strategy can be closely approximated by a simple function of three parameters: (1) the fraction of socially conscious capital, (2) the fraction of targeted firms in the economy and (3) the return correlation between the targeted firms and the rest of the stock market. When calibrated to current data, we demonstrate that the impact on the cost of capital is too small to meaningfully affect real investment decisions. We then derive the conditions that would be required for the strategy to have a meaningful impact. We empirically corroborate our theoretical results by studying firm changes in ESG status and are unable to detect an impact of ESG divestiture strategies on the cost of capital of treated firms. Our results suggest that to have impact, instead of divesting, socially conscious investors should invest and exercise their rights of control to change corporate policy.