Corporate social responsibility and the performance of Australian REITs: a rolling regression approach
Westermann, S, Niblock, SJ & Kortt, M 2018, 'Corporate social responsibility and the performance of Australian REITs: a rolling regression approach', Journal of Assett Management, vol. 19, no. 4, pp. 22-234.
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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 mostly 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.