Sin Stocks Revisited: <i>Resolving the Sin Stock Anomaly</i>

Blitz, David; Fabozzi, Frank J.

doi:10.3905/jpm.2017.44.1.105

Cited by 103 publications

(46 citation statements)

References 7 publications

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“…It is believed that the two are connected (Higgins, 2018). Even though marijuana is now legal in many territories, some consider its producers to be "sin stocks" (Blitz and Fabozzi, 2017;Weisskopf, 2020). Sex differences in attitudes towards controversial companies might also affect "sin bond" prices (Fabozzi et al, 2019).…”

Section: Discussionmentioning

confidence: 99%

Women oppose sin stocks more than men do

Niszczota

Białek

2021

Finance Research Letters

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We experimentally test whether men and women differ in their propensity to hold morally controversial ("sin") stocks. Participants (N = 335) were recruited via Mechanical Turk and rated the moral appropriateness and level of comfort resulting from holding controversial and conventional stocks. Results show that women rate sin stocks as less morally appropriate investment propositions and feel considerably less comfortable investing in controversial (but not conventional) stocks. Sex differences in sin stock tolerance were substantial (d = .60) and remained significant after accounting for differences in investment knowledge and risk tolerance. We discuss two important outcomes of these differences.

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Section: Discussionmentioning

confidence: 99%

Women oppose sin stocks more than men do

Niszczota

Białek

2021

Finance Research Letters

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“…Finally, Blitz and Fabozzi (2017) suggest that the extra-performance of sin stocks with respect to the market can be explained by the profitability and investment factors of Fama and French (2015). In Panel D, we thus also control for the profitability and investment factors besides the traditional three Fama-French factors.…”

Section: Conditional Momentsmentioning

confidence: 99%

Pricing sin stocks: Ethical preference vs. risk aversion

Colonnello

Curatola

Gioffré

2019

European Economic Review

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We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading off dividends against ethicalness. We show that when dividends and ethicalness are complementary goods and investors are sufficiently risk averse, the model predicts that the dividend share of sin companies exhibits a positive relation with the future return and volatility spreads. Our empirical analysis supports the model's predictions.JEL Classification: D51, D91, E20, G12

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“…Hong and Kacperczyk (2009) find that alcohol, tobacco, and gambling stocks tend to be relatively cheaper (i.e., low priceto-book ratio) and therefore offer higher expected returns than comparable stocks belonging to other non-controversial economic sectors. Derwall et al (2011), and Blitz and Fabozzi (2017) argue that other explanations for this superior performance could include benefits from monopolistic returns or a risk-reward premium because of higher idiosyncratic risk (e.g., these companies faced greater litigation risk; Orlitzky & Benjamin, 2001).…”

Section: Liter Ature Re Vie W and Re S E Arch Hyp Othe S E Smentioning

confidence: 99%

“…One of the seminal papers on this topic was published by Hong and Kacperczyk (2009), who concluded that sin stocks provide higher expected returns than comparable alternatives belonging to other sectors. More recently, Blitz and Fabozzi (2017) found that the abnormal return of sin stocks disappears after controlling for the two new Fama and French (2015) factors (i.e., profitability and investment). The impact of the exclusion of, or exposure to, sin stocks on an investment portfolio's financial | 217 MUÑOZ performance has also been studied (see amongst others, Borgers et al, 2015;Humphrey & Tan, 2014;Soler-Domínguez & Matallín-Sáez, 2016).…”

Section: Introductionmentioning

confidence: 99%

Sin sectors and negative screening

Muñoz

2021

Business Ethics Env & Resp

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In this research, I analyse how exposure to sin sectors impacts the financial performance of socially responsible (SR) funds. I also analyse the question of whether or not these funds keep their word and are less exposed to the controversial sectors that they claim to exclude in their prospectuses. Additionally, I analyse how local political and religious factors exert an influence on the exposure of SR funds to sin sectors. Consequently, I analyse a sample comprising 136 SR mutual funds that were domiciled in the U.S. market in the period March 2017-April 2020 and who invest in domestic and global equity, of which 92 implement negative screens on at least 1 of 12 controversial activities. My results show that for seven (three) of the controversial sectors that were analysed, the exposure of SR funds to these sectors jeopardises (improves) their financial performance. Furthermore, SR mutual funds who perform negative screens tend to live up to their name and are less exposed to the sector/s that they claim to exclude. In addition, SR mutual funds managed by companies located in Democrat-leaning states are less exposed to sin sectors, and that the effect of local religiosity depends on the specific sector analysed.

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Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Cited by 103 publications

References 7 publications

Women oppose sin stocks more than men do

Women oppose sin stocks more than men do

Pricing sin stocks: Ethical preference vs. risk aversion

Sin sectors and negative screening

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