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dc.contributor.advisorStamland, Tommy
dc.contributor.authorFixdal, Ingrid Tenggren
dc.contributor.authorStoretvedt, Synne Sofie
dc.date.accessioned2021-04-19T07:52:56Z
dc.date.available2021-04-19T07:52:56Z
dc.date.issued2020
dc.identifier.urihttps://hdl.handle.net/11250/2738245
dc.description.abstractThe purpose of this thesis is to investigate whether sin stocks outperform the market and comparable utility stocks. We focus on three categories of sin stocks: tobacco, alcohol and gambling. The constructed sin and comparable portfolios consist of stocks from the Western world and monthly returns from the last two decades. In the regressions, we apply the Fama-French three-factor, four-factor (Carhart) and five-factor model, with and without momentum, to control for possible differences in risk exposure between the portfolios. We estimate alphas using a long-short investment strategy 1) going long in the sin portfolio and short in the market and 2) going long in the sin portfolio and short in the comparable portfolio. We find statistically significant and positive alphas for the total sin portfolio in excess of the market. I.e. our findings suggest that sin stocks outperform the market. Our results also indicate that the market risk factor and the profitability factor are important in explaining the abnormal returns of sin stocks. However, we do not detect any significant differences in abnormal returns for the sin portfolio between the continents nor the decades in our sample, and we only find a return premium for the alcohol portfolio in excess of the market when we examine the three sin industries separately. Moreover, our results show that the sin portfolio does not outperform the portfolio of comparable utility stocks, indicating that investors do not have to sin in order to achieve a return premium. Keywords – Sin stocks, Utility stocks, Fama and French, Carhart, Abnormal returnsen_US
dc.language.isoengen_US
dc.subjectfinancial economicsen_US
dc.titleIs sinning winning? : an empirical analysis of sin stock returns in the Western world from 2000 to 2019en_US
dc.typeMaster thesisen_US
dc.description.localcodenhhmasen_US


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