Vice vs. Virtue Investing Around the World

36 Pages Posted: 19 Mar 2008 Last revised: 12 May 2011

Sebastian Lobe

University of Maine - Maine Business School

Christian Walkshäusl

University of Regensburg - Center of Finance

Date Written: May 9, 2011

Abstract

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.

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

JEL Classification: G11, G12, G19

Suggested Citation

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

Sebastian Lobe (Contact Author)

University of Maine - Maine Business School ( email )

Orono, ME 04469
United States
+1 (207) 581-1949 (Phone)

Christian Walkshäusl

University of Regensburg - Center of Finance ( email )

Regensburg
Germany

Paper statistics

Downloads
1,639
Rank
7,506
Abstract Views
7,863