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

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.