Evaluating the financial impact of gender diversity: integrating gender diversity metrics in portfolio construction and performance assessment

Abstract

This thesis investigates the impact of gender diversity on stock returns and the optimal integration of gender diversity metrics into portfolio construction. Analyzing S&P500 stocks from 2017 to 2022, 48 portfolios were constructed using a gender diversity score and various screening and optimization techniques. Overall, the findings indicate that gender diversity negatively impacts stock returns. This result is robust across different screening approaches, screening levels, and optimization processes. Although no robust conclusion on optimal screening approach and intensity was found, evidence supports the Markowitz optimization framework over Naïve diversification, and a low screening type over a high screening type.