African agriculture has attracted increased global policy attention over the last 10 years due to concerns over both food security and economic growth. In this context, social impact investing (SII)—where investors use financial models to achieve positive social impacts as well as financial returns—is presented as a viable means of financing agricultural development in the context of reduced public funding This thesis is concerned with how SII (and its understandings, assumptions, and models of agricultural development) interact with smallholder farming in Tanzania. I unpack how the concept of SII takes shape, how it is translated into the Tanzanian context, and how it interacts with farmer livelihoods through a case study of Cheetah Development in Lower Kilolo District. I take a political ecology approach drawing mainly on qualitative methods. The concept of assemblages is employed to investigate how diverse actors enter into relationships, how those relationships hold together, and how they fall apart. I focus on three key analytical themes: power (discursive, disciplinary, and institutional), moral economies, and the role of socio-material entities. My findings show that SII is being driven by the pursuit for new profit frontiers and concerns over business risks, and also by a belief that a more ethical capitalist economy can be built. This has resulted in a narrative of ‘Africa rising’. How exactly ‘social impact’ is being defined and the motivations for pursuing it, however, differ widely within SII. To investigate how agricultural SII is translated in Tanzania I focus on Cheetah Development, an American social impact investor that provides agricultural inputs on credit to smallholder farmers and attempts to involve them in new maize value chains. Cheetah’s model identifies existing maize value chains centred around middlemen as features of an immoral capitalism. It also views smallholders as not only lacking market access and inputs, but also lacking in business-orientated mindsets. The Cheetah model builds various mechanisms to discipline farmers and render them bankable. Through examining farmer livelihoods, I find that farmers conduct diverse livelihood activities, and maize plays a variety of roles in village life. Farmer livelihoods are underpinned by a moral economy involving flexible relations of borrowing and lending. I conclude that assumptions of ethical capitalism embedded in the Cheetah model clash with farmer livelihoods and their conceptions of just socio-economic relationships.

The purpose of this study is to present and test a general framework for risk-based investing. It permits various risk-based portfolios such as the global minimum variance, equal risk contribution and equal weight portfolios. The framework also allows for different estimation techniques to be used in finding the portfolios. The design of the study is to collate the existing research on risk-based investing, to analyse some modern methods to reduce estimation risk, to incorporate them in a single coherent framework, and to test the result with South African equity data. The techniques to reduce estimation risk draw from the usual mean-variance and risk-based optimisation literature. The techniques include regime switching, quantile regression, regularisation and subset resampling. In the South African experiment, risk-based portfolios materially outperformed the market weight portfolio out-of-sample using a Sharpe ratio measure. Additionally, the global minimum variance portfolio performed better than other risk-based portfolios. Given the long estimation window, no estimation techniques consistently outperformed the application of sample estimators only.

As intelligent investors, we should always consider holding assets of different classes. Investing in assets from various classes allows us to minimize portfolio risks. In this paper, we recommend a better way of devoting money, especially for the investors who are interested in the agricultural sector. Historically fund managers use Markowitz framework to create financial portfolios. However, that framework has some fundamental limitations. A copula is a modern approach that counters the disadvantages of the Markowitz framework, to deal with portfolio construction. Copula also identifies the downside risk (the maximum amount of money you can lose) of a portfolio. We found that farmland is the best asset to have in an agricultural portfolio. However, farmland is scarce. So, we introduce copula, which can be used to find alternative assets. We also found that the portfolio composition does not change during agricultural boom or bust. Currently, the US agricultural sector is going through a slump period. Funds invested in a portfolio during the good seasons (given it was correctly invested) should not be altered during the bad times.

No description available.

In the recent years, a new type of investments called Impact Investing has been growing rapidly. Those investments are made with the intention to improve social and/or environmental conditions in the world while generating financial returns. In this case, financial metrics are not enough to measure whether the investor objective was reached, and tools for measuring the social performance of the investments are needed. From that need, various measurement approaches were created, but the fragmentation of methods leads to a huge inefficiency in the impact investing industry. Efforts towards creating standards for measuring and reporting social performance are emerging, but there is still little  understanding among impact investors about the real benefits and possible challenges the standardization would bring. In this context, an important question arises, which is the subject of study in this research: What are the potential consequences of establishing social performance standards for the impact investing industry? The purpose of this research is to analyze the possible consequences of establishing social performance standards on the impact investing industry. Qualitative approach and interpretive paradigm were chosen to be followed in this research. Primary data was collected in the form of interviews with impact investors and specialists in social performance measurement. Secondary data comes from books, articles, journals and websites. The data was analyzed using the consequences of innovations framework presented by Rogers (2003). The results suggest that obviously there are potential desirable and undesirable direct consequences, but also indirect consequences that are not perceived without a thorough analysis.

Thesis (M.B.A.)--Boston University / PLEASE NOTE: Boston University Libraries did not receive an Authorization To Manage form for this thesis or dissertation. It is therefore not openly accessible, though it may be available by request. If you are the author or principal advisor of this work and would like to request open access for it, please contact us at open-help@bu.edu. Thank you. / 2999-01-01

In theory, as a greater share of capital is invested passively rather than actively managed, stock prices will be freer to diverge from fair value, resulting in marginally less efficient equity markets. The effect should be an amplification of managerial skill, which manifests itself in the tails of α distributions. I find evidence that mutual fund α distributions differ increasingly as a function of the share of assets invested in passive vehicles. However, I find no evidence that the “tailedness” of the distributions increases as a function of the share of assets invested passively. This may be a result of the limited sample size, or it may be that higher levels of passive share are required for this effect to materialize.

The increasing popularity of passive investment strategies causes the long-term feasibility of active investing to be questioned more often. Therefore, this research aimed to uncover whether active investors' influence on fund performance is positive and significant enough to offset the cost involved, thereby providing reasoning for active rather than passive investing. A comparative analysis of 211 actively managed funds and 191 market and industry-specific indices is performed. Security selection skills and market timing ability are captured through a model comprising of the Fama French three-factor and the Treynor and Mazuy market timing model. The sample is tested between 2005 and 2020, with 5-year sub-periods. Over the full period, active and passive returns are found to be nearly indistinguishable. However, active funds seem to excel during bearish periods, where passive funds excel in bullish periods. The standard deviation is higher overall for passive investing. This difference, however, disappears during bearish periods. The security selection skill is barely distinguishable from zero for either strategy. On the other hand, market timing ability is existent for active investors, indicating a positive effect in bearish markets and a negative effect in bullish markets. Additionally, for both investing strategies, more than 90% of the returns are explained by the movements of the general market. The most suitable investment strategy is truly determined by an investor's level of risk aversion. Nevertheless, this research found that, in general, the passive investing strategy is dominant under normal market conditions. Active investors can act on the macroeconomic developments that fuel crises. This advantage enables them to achieve returns superior to indices while preserving a lower standard deviation during bearish market conditions.

Interviews with impact investors have been conducted to gain a clearer understanding of how socially sustainable investments are made taking into account the identity and gender views of impact investors. The gender lens applied to the study aimed to investigate how gender has been taken into account during company audits and before investment decisions by the impact investors. Furthermore, social identity theory has formed the basis for the deductive study that has been carried out. It has been used to study the impact investors' self-image and how they acted in their professional role in order to gain a deeper understanding of the origin of the impact investors' actions in relation to their identity. These actions have been thematised and examined in terms of criteria, actions, challenges and measures. The recurring factor that most influenced both the company assessment and investment decisions was the dual goals of impact investors, financial return and impact. The clearest contribution the study made was that there is a clearer link between impact investors' self-image and their profession compared to other professionals. How this affects impact investors' actions could not be discerned. Furthermore, the study also found that gender is not taken into account during company audits and investment decisions to the extent that previous research has shown. Risk understanding, potentially increased returns and social sustainability are possible outcomes that gender lens investments contribute to. The study's findings suggest that impact investors were aware of this, yet few of the study's respondents were willing to consider gender when making investment decisions. / Intervjuer med impact-investerare har genomförts för att skapa en tydligare förståelse för hur socialt hållbara investeringar sker med hänsyn till impact-investerarnas identitet och syn på genus. Den genuslins som applicerats på studien avsåg att undersöka hur genus har beaktats under företagsbesiktningar och inför investeringsbeslut av impact-investerarna. Vidare har social identitetsteori legat till grund för den deduktiva studie som gjorts. Den har nyttjats för att studera impact-investerarnas självbild och hur de agerade i sin yrkesroll för att få en djupare förståelse för härkomsten av impact-investerarens aktioner i relation till sin identitet. Dessa aktioner har tematiserats och undersökts utifrån kriterier, handlingar, effekter och åtgärder. Den återkommande faktorn som påverkade både företagsbesiktningen och investeringsbesluten i störst utsträckning var de dubbla målen impact-investerare arbetar mot, finansiell avkastning och impact. Det tydligaste bidraget studien medförde var att det fanns en tydlig koppling mellan impact- investerarnas självbild och förhållandet till deras yrkesgrupp och kultur. Hur det påverkar impact-investerarnas aktioner kunde inte urskiljas. Fortsättningsvis fann studien även att genus inte tas i beaktning under företagsbesiktningar och inför investeringsbeslut i den utsträckning som tidigare forskning visat. Riskförståelse, potentiellt ökad avkastning samt social hållbarhet är möjliga utfall som genuslinsinvesteringar bidrar till. Studiens resultat tyder på att impact-investerarna var medvetna om detta. Trots det var få av studiens respondenter villiga att beakta genus inför investeringsbeslut.

Emerging ESG studies have established a negative equilibrium correlation between ESG factors and stock returns in an economy predominately influenced by investors with nonpecuniary preference over high ESG credentials. However, little research has delved into a potential systematic liquidity risk phenomenon associated with aggregate trading activities of ESG-motivated investors who share a common nonzero ESG preference component in their utility function. Focusing on the carbon footprint metric of ESG factors, this thesis aims to investigate the potential existence of an ESG-specific component in liquidity commonality among equities listed on Nasdaq Stockholm, with a key assumption being that the average investor active on the Swedish equity market is cognizant of emission data and willing to forgo financial returns for positive externalities. Using a calibrated portfolio sorting technique and a set of time series regression models, the thesis uncovers novel evidence of liquidity synchronicity among ESG-unfavorable stocks. Additionally, the results indicate that liquidity dynamics of ESG frontrunners tend to be reflective of firm level characteristics. These findings remain robust even after controlling for market-wide driving forces, industry effects, and nonsynchronous liquidity co-movements etc. Investors prioritizing climate efforts may have tilted their capital away from emission laggards which give rise to a “flight to climate” effect on stock liquidity synchronicity among brown equities. Their resultant constrained investor base may lead to simultaneous liquidity oscillation as observed. Notwithstanding, the thesis does not measure explicit mechanisms through which ESG factors impact stock liquidity commonality, leaving this as a topic for future research.