Table 1 Monthly returns statistics by...

Table 1

Monthly returns statistics by GICS industry and ESG compliance

Returns by GICS industry	Monthly average	St Dev	Min	Max
Diversified REITs	0.34	5.87	−54.95	50.00
0	0.32	6.05	−54.95	50.00
1	0.37	5.28	−22.24	23.14
Health care REITs	0.59	4.12	−16.71	16.90
0	−0.07	2.68	−10.47	7.67
1	0.72	4.34	−16.71	16.90
Hotel and resort REITs	0.06	4.43	−17.71	11.43
0	−0.32	3.56	−13.64	11.43
1	0.47	5.22	−17.71	11.21
Industrial REITs	1.24	4.78	−20.15	16.88
0	1.23	4.12	−12.13	14.15
1	1.24	5.17	−20.15	16.88
Office REITs	0.23	7.21	−46.67	66.67
0	−0.11	8.85	−46.67	66.67
1	0.41	6.13	−32.91	22.51
Residential REITs	0.12	7.47	−50.00	56.56
0	−0.25	8.61	−50.00	56.56
1	0.66	5.31	−22.92	18.82
Retail REITs	0.19	6.05	−31.07	30.50
0	0.23	4.59	−29.63	16.81
1	0.17	6.94	−31.07	30.50
Specialized REITs	0.60	10.80	−58.00	56.13
0	−0.68	14.13	−58.00	56.13
1	1.82	5.98	−20.30	23.83

Returns by GICS industry	Monthly average	St Dev	Min	Max
Diversified REITs	0.34	5.87	−54.95	50.00
0	0.32	6.05	−54.95	50.00
1	0.37	5.28	−22.24	23.14
Health care REITs	0.59	4.12	−16.71	16.90
0	−0.07	2.68	−10.47	7.67
1	0.72	4.34	−16.71	16.90
Hotel and resort REITs	0.06	4.43	−17.71	11.43
0	−0.32	3.56	−13.64	11.43
1	0.47	5.22	−17.71	11.21
Industrial REITs	1.24	4.78	−20.15	16.88
0	1.23	4.12	−12.13	14.15
1	1.24	5.17	−20.15	16.88
Office REITs	0.23	7.21	−46.67	66.67
0	−0.11	8.85	−46.67	66.67
1	0.41	6.13	−32.91	22.51
Residential REITs	0.12	7.47	−50.00	56.56
0	−0.25	8.61	−50.00	56.56
1	0.66	5.31	−22.92	18.82
Retail REITs	0.19	6.05	−31.07	30.50
0	0.23	4.59	−29.63	16.81
1	0.17	6.94	−31.07	30.50
Specialized REITs	0.60	10.80	−58.00	56.13
0	−0.68	14.13	−58.00	56.13
1	1.82	5.98	−20.30	23.83

Source(s): Authors’ own work