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    Gender Diverse Portfolios as New Asset Class

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    Date
    2017-08-09
    Author
    Lin, Ming-Tsung;
    Poon, Ser-Huang
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    Abstract
    This paper studies market-traded equity portfolios that are constructed based on a minimum number of female board members and/or a target female work force ratio. Using the top 1,000 US firms from 2002 to 2015 as the tradable asset universe, we replicate and backtest five gender diverse portfolios. We find that these portfolios have smaller idiosyncratic risks and that their constituent firms have better CSR (Corporate Social Responsibility) rating. Consistent with previous research findings on CSR stocks, these gender diverse portfolios also have a smaller downside risk. From the portfolio's risk-return performance and their social policy implication, we argue that that these gender diverse portfolios constitute a new asset class.
    Description
    Citation : Lin, M.T. and Poon, S.H. (2017) Gender Diverse Portfolios as New Asset Class. Working Paper.
    URI
    http://hdl.handle.net/2086/15563
    DOI
    https://doi.org/10.2139/ssrn.2958134
    Research Group : FiBRe
    Peer Reviewed : No
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    • Department of Accounting and Finance [414]

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