对新兴市场和发展中经济体进行投资长期回报

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　 Abstract

　fter e

　is

　gr o wing

　inter est

　in

　impact

　investing,

　the

　idea

　of deploying

　capital

　to

　obtain

　both

　financial

　and

　social

　or

　envi - r onm e n t a l

　r e t ur n s .

　E x a m i n a t i on

　o f

　e v e r y

　e q u i t y

　i n v e s t m e n t made

　b y

　one

　of

　the

　largest

　and

　longest-operating

　impact investors

　acr oss

　130

　emerging

　market

　and

　dev eloping

　econ - omies

　sho ws

　this

　por tfolio

　has

　outperformed

　the

　S&P

　500

　b y

　15

　per cent.

　I nv estments

　in

　larger

　economies

　have

　high er r eturns,

　and

　r eturns

　decline

　as

　banking

　systems

　deepen

　and countries

　r elax

　capital

　contr ols.

　ftese

　r esults

　are

　consistent with

　imper fect

　integration

　of

　international

　capital

　mar kets and

　the

　thesis

　of

　impact

　investing

　that

　some

　eligible

　markets do

　not

　receiv e

　sufficient

　inv estment

　capital.

　ftis

　paper

　is

　a

　joint

　pr oduct

　of

　the

　D ev elopment

　R esear ch

　G r oup ,

　D ev elopment

　E conomics;

　the

　F inance,

　Competitiv eness and

　I nno v ation

　G lobal

　P ractice;

　and

　the

　I nternational

　F inance

　Corporation

　E conomics

　and

　P riv ate

　S ector

　D ev elopment V ice

　P residency .

　I t

　is

　par t

　of

　a

　larger

　effor t

　b y

　the

　W orld

　B ank

　to

　pr o vide

　open

　access

　to

　its

　r esear ch

　and

　make

　a

　contribution to

　dev elopment

　policy

　discussions

　ar ound

　the

　world.

　P olicy

　R esear ch

　W orking

　P apers

　are

　also

　posted

　on

　the

　W eb

　at

　http:// www .worldbank.org/pr wp . fte

　authors

　may

　be

　contacted

　at

　tr eed@worldbank.org.

　P o L I C y

　R E s E A RC H

　W o R k I n G

　P A p E R

　9366

　 Long-run Returns to Impact Investing in Emerging Market and Developing Economies 1

　Shawn Cole Harvard Business School and NBER

　Martin Melecky World Bank

　Florian Mölders International Finance Corporation

　Tristan Reed World Bank Development Research Group

　 JEL Classification: F36, G15, O16, O19

　Keywords: impact investing, private equity, venture capital, international capital market integration

　1

　We

　thank

　Mohan

　Manem

　especially

　for

　providing

　an

　understanding

　of

　the

　data.

　Seminar

　participants

　at the

　Harvard

　Business

　School

　Finance

　Unit,

　the

　International

　Finance

　Corporation

　and

　the

　World

　Bank Development

　Research

　Group

　provided

　helpful

　comments,

　along

　with

　Adam

　Fegan,

　Paddy

　Carter,

　Penny Goldberg,

　Neil

　Gregory,

　Kostas

　Kollias,

　Fanele

　Mashwama,

　Camilo

　Mondragón-Vélez,

　Jacob

　L.

　Otto

　and Thomas

　Rehermann.

　Anshul

　Maudar

　provided

　capable

　research

　assistance.

　The

　views

　expressed

　in

　this paper

　are

　those

　of

　the

　authors

　and

　do

　not

　necessarily

　represent

　those

　of

　the

　World

　Bank

　Group.

　All results

　have

　been

　reviewed

　to

　ensure

　that

　no

　confidential

　information

　is

　disclosed.

　I. Introduction There is growing interest in impact investing, the idea that financial capital can be deployed to obtain both financial as well as (measurable) social or environmental returns. The idea is controversial. Brest, Gilson and Wolfson (2018) for example argue that an impact investor can make a difference in the world by deploying capital 2

　 only if their pursuit of social or environmental goals leads them to invest in projects that would not have been financed otherwise. If capital markets are perfectly integrated (i.e., the competitive risk-adjusted return is the same in all markets) in order to do so the impact investor must accept a lower risk-adjusted return than traditional investors. Put differently, to believe that the impact investor can do as well financially as traditional investors while also making a difference, one must also believe that there are frictions preventing the flow of capital between markets such that commercially-viable projects nonetheless fail to receive financing, and that the impact investor is able to identify and finance these projects.

　This paper offers a fresh look at the plausibility of this assumption through analysis of the cash flows associated with every equity investment made by the International Finance Corporation (IFC), a member of the World Bank Group, across 130 emerging market and developing economies (EMDEs). Founded in 1956 with a mandate to “further economic development by encouraging the growth of productive private enterprise in member countries, particularly in less developed areas," the IFC’s understanding of how its investments contribute to improvement in social or environmental outcomes is shared by other investors and is predicated on the view that some eligible markets do not receive sufficient investment capital. The charter states “the Corporation shall...assist in financing...in cases where sufficient private capital is not available on reasonable terms.” The Corporation explicitly seeks a commercial return on investment.

　The IFC’s history and approach to investing in EMDEs makes its portfolio uniquely suited for an investigation of whether certain markets offer expected returns that are systematically higher than others, and thus opportunities for the impact investor to invest in projects that are not already being financed at the lowest competitive rate available in this set of markets. Previous studies of this question have tested for cross-country covariance in the return to public equity indices (Campbell and Hamao, 1992; Harvey, 1995) or for a common marginal product of

　2

　Investors

　could

　plausibly

　affect

　outcomes

　in

　other

　ways

　as

　well,

　such

　as

　by

　insisting

　on

　adherence

　to environmental,

　social

　or

　governance

　(ESG)

　criteria,

　which

　could

　affect

　company

　performance.

　capital implied by the national accounts in a cross section of countries (Caselli and Freyer, 2007). The IFC portfolio is unique in that it allows one to test for differences in returns to private equity investments across many countries in a way that is free from sampling problems such as survivorship bias. 3

　 The portfolio is more diversified across countries than either foreign direct investment (FDI) inflows or the MSCI Emerging Market (MSCI EM) index of public equities, both of which have a high concentration in the largest economies such as China and Brazil. Relative to the market, the IFC also has a substantially higher share of investment in very poor countries (i.e., those with real GDP per capita of $1,000 or less).

　A principal concern when comparing investment returns across countries is that differences reflect differences in risk rather than in the risk-adjusted return per se. We address this issue in three ways. First, since we observe the timing of cash flows we are able to measure returns in terms of a public market equivalent (PME), which accounts for both the absolute level of return and the diversification value of payouts that are less correlated with a global risk factor as in the capital asset pricing model (Kaplan and Schoar, 2005; Sorensen and Jagannathan, 2015). Second, since the IFC invests across many sectors, including those considered especially conducive to economic development such as financial institutions (Levine, 2005) and infrastructure (Aschauer, 1989; Roller and Waverman, 2001), we are able to compare returns across countries within production technologies that may vary in their level of non-diversifiable risk. Third, the length of the time series—the longest in existence of which we are aware— provides assurance that differences in average returns across countries are not driven by the realization of non-diversifiable country risk in a few particular years.

　The analysis yields three main results. First, in pursuing its strategy the IFC has achieved attractive returns over the long run. Benchmarking the IFC’s equity investment portfolio to the S&P 500 (available for our entire sample period), we calculate that the total portfolio has obtained a PME of 1.15, indicating that the portfolio has returned 15 percent more over its life than an equivalently timed investment in the public index would have. Alternative benchmarks yield similarly attractive estimates such as a PME of 1.30 when using the MSCI EM index (after 1988, when the index becomes available). Given our data include the portfolio of a single investor we do not claim that this performance is representative of the universe of EMDE private

　3

　Our

　paper

　is

　related

　to

　a

　few

　employing

　data

　on

　the

　complete

　portfolio

　of

　a

　single

　private

　equity

　investor: Gompers

　and

　Lerner

　(1997)

　study

　the

　portfolio

　of

　Warberg

　Pincus

　and

　Kerr,

　Lerner

　and

　Schoar

　(2014) study

　the

　portfolio

　of

　two

　prominent

　angel

　investment

　groups,

　Tech

　Coast

　Angels

　and

　CommonAngels.

　equity investments. The IFC’s membership in the World Bank Group for instance may offer it protection from expropriation not available to other investors. Nonetheless, given it is the only international investor with a portfolio spanning such a large and diverse set of countries and because it co-invests with a number of funds, the portfolio provides a unique view of the return to private investment in EMDEs.

　Second, we demonstrate that two groups of country-level covariates, market size and financial system openness and development, predict performance in a way that is economically and statistically significant. More populous EMDEs have higher mean and median returns within sectors. Returns fall as economies relax capital controls and deepen their banking sectors. These findings are consistent with the thesis that there are opportunities for impact investors to earn at least a market return while providing capital that is not otherwise available. If these economies could access all the capital they needed, competition between investors would have caused the return on capital to be the same in all markets, regardless of size, openness or financial development.

　Third, country risk factors including political risk, perceived corruption, and ease of doing business measured at the time of investment do not significantly predict financial performance. Macroeconomic conditions over the course of the investment however have material effects, with a 1 percent increase in cumulative annualized real GDP growth over the life of th...