Should You Sin? Sin Stock Over-performance in the Age of Socially Responsible Investing
Sammanfattning: This thesis presents evidence that the phenomenon of sin stocks yielding abnormal returns persists until the present day. In contrast to results by Blitz and Fabozzi (2017), we find these abnormal returns to be robust to controlling for the Fama-French factors for profitability and investment. The study is carried out on 156 American alcohol, tobacco, and gambling stocks during the period 1985 through 2018, and each of these sin industries is found to exhibit abnormal returns. Furthermore, the magnitude of these abnormal returns is found to be increasing over time. This increase may stem from a rise in socially responsible investment and other screening procedures among investment professionals, which causes shunning of sin stocks.
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