| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w25323
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| 来源ID | Working Paper 25323
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| Investment Returns and Distribution Policies of Non-Profit Endowment Funds |
| Sandeep Dahiya; David Yermack
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| 发表日期 | 2018-12-10
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| 出版年 | 2018
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| 语种 | 英语
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| 摘要 | We present the first estimates of investment returns and distribution rates for U.S. non-profit endowments, based on a comprehensive sample of 35,755 organizations for 2009-2018, a period that saw a sharp drop followed by a lengthy appreciation in public equity values. Non-profit endowments badly underperform market benchmarks during our sample period. Holding a zero investment portfolio (long endowment and short 60-40 mix of U.S. equity and Treasury bond indexes) generates a mean -4.20% annual return. Regression estimates in four-factor models including U.S. stocks and bonds, global stocks, and hedge funds, find statistically significant alphas of -0.39% per year. Smaller endowments have less negative alphas than larger endowments, but all size classes significantly underperform. Distribution ratios are conservative, well below the funds’ long-run returns. Donors increase contributions when endowment returns are strong, with an elasticity of about 0.20 between net-of-market investment returns and new donations. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Corporate Finance
; Industrial Organization
; Nonprofits
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| URL | https://www.nber.org/papers/w25323
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/582997
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推荐引用方式
GB/T 7714 |
Sandeep Dahiya,David Yermack. Investment Returns and Distribution Policies of Non-Profit Endowment Funds. 2018.
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文件名：
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w25323.pdf
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格式：
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Adobe PDF
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