TY  - UNPD
A1  - Colonnello, Stefano
A1  - Curatola, Giuliano Antonio
A1  - Gioffré, Alessandro
T1  - Pricing sin stocks : ethical preference vs. risk aversion
T2  - SAFE working paper series ; No. 216
N2  - 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.
T3  - SAFE working paper - 216 
KW  - Asset Pricing
KW  - General Equilibrium
KW  - Sin Stocks
Y1  - 2018
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/46681
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-466812
UR  - https://ssrn.com/abstract=3206538
IS  - July 14, 2018
PB  - SAFE
CY  - Frankfurt am Main
ER  -