This paper investigates the effects of board gender diversity on firm performance, risk, and risk-adjusted returns using a sample of US Equity Real Estate Investment Trusts (REITs), while attempting to uncover the effects of less overconfident behaviour exhibited by women on the board on investment mechanisms REITs use to control for firm risk. Using an instrumental variable approach and utilizing instruments for board gender diversity constructed on the exposure of a REITs properties to different states, we find that board gender diversity increases firm performance, but also firm risk. Taking advantage of the REITs business environment, we find evidence of less overconfident investment behaviour, where women on the board increase the geographic concentration of their property portfolio, while diversifying across property types. Such less overconfident investment behaviour increases firm risk, which results in no significant risk-adjusted returns as an increase in performance is compensated with an increase in risk.