| dc.description.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. | en |
