Corporate social responsibility and the performance of Australian REITs: a rolling regression approach
Scott Niblock () and
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Steffen Westermann: Southern Cross University
Scott Niblock: Southern Cross University
Michael Kortt: Southern Cross University
Journal of Asset Management, 2018, vol. 19, issue 4, 222-234
Abstract This paper examines the influence of corporate social responsibility (CSR) on the performance of Australian Real Estate Investment Trusts (A-REITs). Rolling regressions are estimated to establish the risk-adjusted performance of low-, average- and high-rated CSR A-REIT portfolios over time. We find that the low CSR A-REIT portfolio outperforms its counterparts. However, while the average and high CSR A-REIT portfolios deliver increased risk-adjusted performance over the sample period, the opposite is observed for the low CSR A-REIT portfolio. Due to the uptake of CSR activities and changing risk factor loadings, our results suggest that the gap in performance between lower- and higher-rated CSR A-REITs appears to be closing.
Keywords: Corporate social responsibility; Investment; Listed property; Performance; Real estate (search for similar items in EconPapers)
JEL-codes: G12 G14 G19 (search for similar items in EconPapers)
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