Gender Diverse Portfolios as New Asset Class

Date

2017-08-09

Advisors

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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.

Rights

Research Institute