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Article

Sin Stock Returns

Frank J. Fabozzi, K.C. Ma and Becky J. Oliphant
The Journal of Portfolio Management Fall 2008, 35 (1) 82-94; DOI: https://doi.org/10.3905/JPM.2008.35.1.82
Frank J. Fabozzi
is a professor of finance at the Yale School of Management in New Haven, CT, and the editor of .
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  • For correspondence: frank.fabozzi@yale.edu
K.C. Ma
is Roland George Professor in the School of Business Administration at Stetson University in Deland, FL and President of KCM Asset Management, Inc.
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  • For correspondence: kcma@stetson.edu
Becky J. Oliphant
is an associate professor in the School of Business Administration at Stetson University in Deland, FL.
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  • For correspondence: boliphan@stetson.edu
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Abstract

In this article, the authors examine the issue of how social values affect economic values. Based on a small subset of the stock universe that has been generally associated with sin-seeking activities, such as alcohol consumption, adult services, gaming, tobacco, weapons, and biotech alterations, the authors find that a sin portfolio produced an annual return of 19% over the study period, unambiguously outperforming common benchmarks in terms of both magnitude and frequency. Several likely reasons for the positive excess returns in sin stocks are identified. The authors argue that trustees or fiduciaries who develop institutional investment policy statements should fully understand the economic consequences of screening out stocks of companies that produce a product inconsistent with their value systems. In addition, institutional investors should question if the cost to uphold common social standards is worthwhile.

  • © 2008 Institutional Investor, Inc.
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The Journal of Portfolio Management
Vol. 35, Issue 1
Fall 2008
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Sin Stock Returns
Frank J. Fabozzi, K.C. Ma, Becky J. Oliphant
The Journal of Portfolio Management Oct 2008, 35 (1) 82-94; DOI: 10.3905/JPM.2008.35.1.82

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Sin Stock Returns
Frank J. Fabozzi, K.C. Ma, Becky J. Oliphant
The Journal of Portfolio Management Oct 2008, 35 (1) 82-94; DOI: 10.3905/JPM.2008.35.1.82
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Jump to section

  • Article
    • Abstract
    • SOCIETAL VIEWS OF SIN
    • WHAT IS SIN?
    • WHY SHOULD IT MATTER?
    • IT COSTS TO BE GOOD
    • SIN IS A MONOPOLY
    • HEADLINE RISK
    • JUST DON’T LIKE THE STOCKS
    • EMPIRCAL STUDY
    • CONCLUSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF

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  • Examining Portfolios Created by Bloomberg ESG Scores: Is Disclosure an Alpha Factor?
  • Is It Good to Sin When Times Are Bad? An Investigation of the Defensive Nature of Sin Stocks
  • Exclusionary Screening
  • The Underpricing of Sin Stocks
  • ESG Investing: From Sin Stocks to Smart Beta
  • Is Exclusion Effective?
  • Have Investors Paid a Performance Price? Examining the Behavior of ESG Equity Funds
  • ESG Controversies and Their Impact on Performance
  • INVITED EDITORIAL COMMENT: Passive Investing and Sustainability Integration Are Fundamentally Irreconcilable Investment Philosophies
  • Lowering Portfolio Risk with Corporate Social Responsibility
  • Dissecting the Performance of Socially Responsible Firms
  • Sin Stocks Revisited: Resolving the Sin Stock Anomaly
  • ESG Investing: A Simple Approach
  • Sin Is In: An Alternative to Socially Responsible Investing?
  • Using Social Responsibility Ratings to Outperform the Market: Evidence from Long-Only and Active-Extension Investment Strategies
  • Google Scholar

More in this TOC Section

  • PERSPECTIVES: Plato or Aristotle: Who Got It Right? Evidence from the Equity Markets
  • Editor’s Introduction for 2021 Special Issue on Factor Investing
  • PERSPECTIVES: Seeking Sustainability in American Public Employee Pension Systems
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