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The sin effect : an analysis of sin stock returns in the US, UK and Japan

Sandaker, Kristoffer; Øverbye, Gulbrand
Master thesis
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URI
http://hdl.handle.net/11250/168591
Date
2010
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  • Master Thesis [4207]
Abstract
Our paper examines the existence of a “sin premium” for alcohol, tobacco and gaming stocks

in the US, UK and Japan, and analyses historical stock returns of sin stocks while correcting

for common return predictors and industry effects. Our paper differs from earlier works on

the subject on several counts. In addition to conducting Fama-MacBeth regressions, our

paper is the first to use a Kalman filter approach to examine sin stock returns. With emphasis

on meticulous data collection, our analysis has been manually corrected for

misclassifications in popular databases that may have affected previous studies. At 346

identified sin stocks for the three countries, the paper has one of the largest sin stock

samples to be analyzed to date. Results from the Fama-MacBeth regressions indicate a

return premium for sin stocks in the US and UK. The Kalman filter supports the conclusion

for the US, but is inconclusive for the UK. Neither methods find significant evidence for a sin

premium in Japan.

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