Pricing sin stocks : ethical preference vs. risk aversion

  • 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.

Download full text files

Export metadata

Metadaten
Author:Stefano Colonnello, Giuliano Curatola, Alessandro Gioffré
URN:urn:nbn:de:hebis:30:3-466812
URL:https://ssrn.com/abstract=3206538
Parent Title (English):SAFE working paper series ; No. 216
Series (Serial Number):SAFE working paper series (216)
Publisher:SAFE
Place of publication:Frankfurt am Main
Document Type:Working Paper
Language:English
Year of Completion:2018
Year of first Publication:2018
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2018/07/05
Tag:Asset Pricing; General Equilibrium; Sin Stocks
Issue:July 14, 2018
Page Number:63
HeBIS-PPN:434662976
Institutes:Wirtschaftswissenschaften / Wirtschaftswissenschaften
Wissenschaftliche Zentren und koordinierte Programme / House of Finance (HoF)
Wissenschaftliche Zentren und koordinierte Programme / Center for Financial Studies (CFS)
Wissenschaftliche Zentren und koordinierte Programme / Sustainable Architecture for Finance in Europe (SAFE)
Dewey Decimal Classification:3 Sozialwissenschaften / 33 Wirtschaft / 330 Wirtschaft
Sammlungen:Universitätspublikationen
Licence (German):License LogoDeutsches Urheberrecht