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Vice vs. Virtue Investing Around the World

Sebastian Lobe

University of Regensburg; Center of Finance

Christian Walkshäusl

University of Regensburg - Center of Finance

May 9, 2011

In this paper, we empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks around the world belonging to what we label as the Sextet of Sin: adult entertainment, alcohol, gambling, nuclear power, tobacco, and weapons. We compare their stock market performance directly with a set of virtue comparables consisting of the most important in-ternational socially responsible investment indexes. Employing a multi-factor performance measurement framework and recent boot-strap procedures for robust performance testing, we find no compelling evidence in the data that ethical and unethical screens lead to a sig-nificant difference in their financial performance.

Number of Pages in PDF File: 36

Keywords: Sin Stocks, Socially Responsible Investing, Performance Evaluation, Equity Indexes

JEL Classification: G11, G12, G19

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Date posted: March 19, 2008 ; Last revised: May 12, 2011

Suggested Citation

Lobe, Sebastian and Walkshäusl, Christian, Vice vs. Virtue Investing Around the World (May 9, 2011). Available at SSRN: http://ssrn.com/abstract=1089827 or http://dx.doi.org/10.2139/ssrn.1089827

Contact Information

Sebastian Lobe (Contact Author)
University of Regensburg ( email )
Universitaetsstrasse 31
Regensburg D-93053
+49 (0)941 943-2727 (Phone)
+49 (0)941 943-4979 (Fax)
HOME PAGE: http://www-cgi.uni-regensburg.de/Fakultaeten/WiWi/roeder/lobe.htm
Center of Finance ( email )
HOME PAGE: http://www.center-of-finance.de/en/pd-dr-sebastian-lobe
Christian Walkshäusl
University of Regensburg - Center of Finance ( email )
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