Vice vs. Virtue Investing Around the World
University of Leicester - School of Management
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
Date posted: March 19, 2008 ; Last revised: May 12, 2011
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