Gender Diverse Portfolios as New Asset Class
Date
2017-08-09
Authors
Advisors
Journal Title
Journal ISSN
ISSN
Volume Title
Publisher
Type
Working Paper
Peer reviewed
No
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
Keywords
Board Gender Diversity, Female Corporate Leadership, Gender Diverse Investment, Corporate Social Responsibility
Citation
Lin, M.T. and Poon, S.H. (2017) Gender Diverse Portfolios as New Asset Class. Working Paper.