Sin Stock Returns

By Frank J Fabozzi 3, K. C. Ma, Becky J. Oliphant. Journal of Portfolio Management, 2008

259 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d3d3dbd1eb6c1656d0279115e357eb16f53ccf82

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Citations in the corpus

A tale of values-driven and profit-seeking social investors (2011, background): “Fabozzi, Ma, and Oliphant (2008) find that even a wider range of controversial industries earn relatively 8 Consistent with them having higher returns, sin stocks and other stocks that are deemed controversial through the lens of KLD trade at relatively lower value multiples; see, for example,…”
Why Do Investors Hold Socially Responsible Mutual Funds?: Why Do Investors Hold Socially Responsible Mutual Funds? (2017, unknown): “2 For instance, Fabozzi, Ma, and Oliphant (2008) and Hong and Kacperczyk (2009) find that divesting from sin industries that involve weapons, tobacco, alcohol, or gambling is costly because these companies tend to perform better than “nonsin” companies.”
... and the Cross-Section of Expected Returns (2013, unknown): “This number has grown to around five for the 1991–2003 period, during which time a number of papers, such as Fama and French (1992), Carhart (1997), and Pastor and Stambaugh (2003), spurred interest in studying cross-sectional return patterns.”
Do Social Factors Influence Investment Behavior and Performance? Evidence from Mutual Fund Holdings (2015, background): “…strategies provide evidence that controversial stocks indeed outperform other stocks controlling for common risk factors such as beta, size, value, and momentum effects; see, for example Fabozzi et al. (2008), Hong and Kacperczyk (2009), Statman and Glushkov (2009), Derwall et al. (2011).”
The effects of environmental, social and governance disclosures and performance on firm value: A review of the literature in accounting and finance (2017, unknown): “Fabozzi et al. (2008) expand the notion of firms in sin-seeking industries to include not just alcohol, gaming, tobacco and weapons, but also adult services and even biotech alterations.”
Corporate social responsibility reporting and organizational stigma: the case of "sin" industries. (2016, background): “Prior studies have highlighted the inherent difficulties in identifying “sin” companies (Fabozzi et al ., 2008; Hong & Kacperczyk, 2009).”