Does it pay to be responsible? Evidence on corporate social responsibility and the investment performance of Australian REITs

This paper creates portfolios to better understand the influence of corporate social responsibility (CSR) practices on the risk-adjusted returns of Australian Real Estate Investment Trusts (A-REITs) from 2007 to 2016. We find that A-REIT portfolios (except for the high CSR-rated portfolio) outperform the broader Asia-Pacific market. We also show that the low CSR-rated A-REIT portfolio delivers the best risk-adjusted return performance. Our findings indicate that while CSR practices might mitigate risk in A-REITs, they do not appear to improve risk-adjusted return performance. However, CSR practices may be effective in producing greater risk-adjusted returns for A-REITs during market downturns or economic crises.