EURO-Online login
- New to EURO? Create an account
- I forgot my username and/or my password.
- Help with cookies
(important for IE8 users)
3494. Gender as a tool for diversification
Invited abstract in session WC-63: Applications to Economics and Finance, stream OR in Banking, Finance and Insurance: New Tools for Risk Management.
Wednesday, 12:30-14:00Room: S14 (building: 101)
Authors (first author is the speaker)
| 1. | Ana Escribano
|
| Department of Economics and Finance, Universidad de Castilla-La Mancha | |
| 2. | Antonio Díaz
|
| Universidad de Castilla-La Mancha | |
| 3. | Rocio Hidalgo
|
| Universitat de València |
Abstract
This study investigates the impact of managerial gender on portfolio risk, based on the assumption that women are more risk averse than their male counterparts. The research focuses on a key question: Does this risk aversion manifest itself in the stock market performance of firms that are majority-led by women? To answer this question, we constructed two distinct portfolios based on the gender of top managers: one composed of predominantly female-led companies and one composed of exclusively male-led companies. The selection of companies was based on MSCI’s annual global gender diversity reports, and the analysis was conducted over a sample period from 2018 to 2022. Portfolio risk was assessed using the value-at-risk (VaR) metric, with dynamic optimisation procedures applied through an AR(1)-EGARCH(1,1) model to minimise variance. Our results reveal that portfolios composed of predominantly female-managed companies exhibit lower risk, as measured by VaR, compared to portfolios of male-only managed companies.
Keywords
- Risk Analysis and Management
Status: accepted
Back to the list of papers