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 capital2 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.