Abstract
This article is concerned with contribution of microfinance investment funds to a sustainable financial portfolio. With regard to the dependence of microfinance funds’ returns on the performance of stock and fixed income markets in developed and emerging economies we find slightly negative correlation when measured by the portfolio beta measure. Our regression analysis confirms that returns on investment in microfinance investment funds exceed the returns on the market portfolio. This result together with reported near-to-zero beta estimates as a proxy for the systematic risk may be taken to be a clear financial advantage of an inclusion of microfinance assets in a portfolio compared to pure stock or bond portfolios. The results based on CAPM beta and Jensen's alpha are confirmed by mean-variance spanning test. We show that the socially responsible investors may invest into microfinance without sacrifice with respect to pure financial indicators.
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Notes on contributors
Karel Janda
Karel JANDA is a Professor of Finance at the Department of Banking and Insurance, Faculty of Finance and Accounting, University of Economics, Prague and a holder of RWE Group chair in Economics at Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. He is an Affiliate Fellow at CERGE-EI, a joint workplace of Charles University in Prague and the Economics Institute of the Academy of Sciences of the Czech Republic. His main research areas are applied microeconomics and natural resource economics with application to international trade, banking and economic development.
Gordon Rausser
Gordon RAUSSER is the Robert Gordon Sproul Distinguished Professor in the Department of Agriculture and Resource Economics at the University of California, Berkeley. He served on the Council of Economic Advisors under President Ronald Reagan and as Chief Economist at the Agency for International Development. He is a fellow of the American Association for the Advancement of Science, the American Statistical Association, and the American Agricultural Economics Association His research interests include natural resource economics, biotechnology, environmental policy, bargaining and negotiation theory, regulatory policy, futures and options markets, industrial organization, and antitrust analysis.
Barbora Svárovská
Barbora SVÁROVSKÁ is a PhD student at the Institute of Economic Studies, Faculty of Social Sciences, Charles University in Prague. Her research interests are in the area of financial economics, in particular in microfinance.