Purpose This paper aims to systematically review all available evidence on the implications of sovereign wealth funds (SWFs) for various stakeholders (recipients of sovereign investment, home countries, which incorporate SWFs and the world at large) and offer future research directions. Design/methodology/approach A systematic literature review (SLR) technique is used to review 102 handpicked articles for the period 2005‐2019. Findings This review reveals that the literature on the impact of SWFs emerged only during the financial crisis of 2008–2011 and much of it is qualitative in nature. The literature is lopsidedly focused on the impact of SWFs on target firms and there has been a limited empirical investigation of the impact on other stakeholders. There is a lack of consensus in several areas, which calls for additional research. Few areas, which have not been addressed in the literature and can be taken up by future researchers include the impact of SWFs on macroeconomic fundamentals and stock markets of recipient countries, especially emerging economies; implications of SWFs for alternative asset classes; impact on the welfare of citizens and internationalization strategies of home countries; impact on initial public offerings and unlisted corporations; and impact on innovativeness, efficiency and corporate governance practices of target firms. Originality/value To the best of the authors’ knowledge, this is the first paper to use the SLR technique to review the literature on SWFs. It considers the impact of SWFs on all stakeholders and covers both qualitative and quantitative literature published over a long period of 2005‐2019. It also systematizes all available evidence on this theme and identifies important research gaps, which may be helpful for academicians, practitioners and policymakers.