Emanuela GIACOMINI

This study investigates the risk and return characteristics of impact investing in the public equity market. We use a unique hand‐collected dataset of 50 US listed firms whose product (or service) addresses at least one of the global social and environmental challenges, as defined by the United Nations Social Development Goals (SDGs). We designate such firms Impact Firms, and we compare their financial performance to a matched sample of Non‐Impact Firms in the time span 2002–2019. Our results show that Impact and Non‐Impact Firms have similar level of financial performance and both volatility and systemic risk over the entire sample period. At the same time, Impact Firms show a slightly lower negative skewness of the returns over the entire sample period, but not during crisis periods. However, compared to matched Non‐Impact Firms, Impact Firms outperform during periods of market crisis, generating a valuable dampening of downside risk.