Portfolio performance evaluation and gender diversity in Europe

• Autor(a) principal: Costa, João Eduardo Lima da
• Data de Publicação: 2020
• Tipo de documento: Dissertação
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.14/33632
• topic: Conditional-unconditional portfolio performance; Gender diversity; Stoxx 600; Performance condicional-incondicional de Portefólio; Diversidade de género; Domínio/Área Científica::Ciências Sociais::Economia e Gestão

In the recent decade, gender diversity has become an ever-standing subject. Inside this theme, many factors have been mentioned and studied, making headlines in the media, like gender pay gap. Given this, a shift in the companies’ objectives has happened, where they are concerned not only with their financial goals but also with their social impact. Notwithstanding, the financial and social components are not separated and that is exactly what this paper intends to analyze by taking into account the gender diversity and checking whether such factor has an impact in the company’s financial performance and, if so, whether it is positive or negative. In order to do that, we need to first introduce the support for portfolio performance evaluation which can be divided between the conditional and the unconditional performance evaluation. The former takes into account the dynamic economy we live in, although with more complex models (also more prone for misspecification errors), while the latter assumes a static reality, allowing for more practical models, that are easily applicable to a set of data. From these, it is highlighted the models that make a portfolio’s returns to depend on three, four and five factors, which are also the ones applied to the set of data analyzed. Our portfolios were built using a document from EWOB (European Women on Boards) where the companies from Stoxx 600 are given a score, based on the ratio of women that occupy a board position on these companies’ boards. With this document, two types of portfolios were formed: Top 20 (with a high ratio of women on board) and Bottom 20 (with a low ratio of women on board). In the end, we found that both the four and the five-factor model suited the data adequately, with our analysis suggesting that the presence of more women on the companies’ boards is not connected with a better performance.