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Corporate social responsibility and the performance of Australian REITs: a rolling regression approach

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  • Steffen Westermann

    (Southern Cross University)

  • Scott Niblock

    (Southern Cross University)

  • Michael Kortt

    (Southern Cross University)

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.

Suggested Citation

  • Steffen Westermann & Scott Niblock & Michael Kortt, 2018. "Corporate social responsibility and the performance of Australian REITs: a rolling regression approach," Journal of Asset Management, Palgrave Macmillan, vol. 19(4), pages 222-234, July.
    • Handle: RePEc:pal:assmgt:v:19:y:2018:i:4:d:10.1057_s41260-018-0079-6
    DOI: 10.1057/s41260-018-0079-6
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    2. Hui-Ching Hsieh & Viona Claresta & Thi Minh Ngoc Bui, 2020. "Green Building, Cost of Equity Capital and Corporate Governance: Evidence from US Real Estate Investment Trusts," Sustainability, MDPI, vol. 12(9), pages 1-21, May.
    3. Jian Liang & Ameeta Jain & Hao Wu, 2021. "Does Corporate Social Responsibility Vary by Real Estate Asset Types? Evidence from Real Estate Investment Trusts," Sustainability, MDPI, vol. 13(22), pages 1-18, November.
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    5. Isil Erol & Umut Unal & Yener Coskun, 2021. "ESG Investing and the Financial Performance: A Panel Data Analysis of Developed REIT Markets," MAGKS Papers on Economics 202123, Philipps-Universität Marburg, Faculty of Business Administration and Economics, Department of Economics (Volkswirtschaftliche Abteilung).

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    More about this item

    Keywords

    Corporate social responsibility; Investment; Listed property; Performance; Real estate;
    All these keywords.

    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G19 - Financial Economics - - General Financial Markets - - - Other

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