Sin Stocks: An Analysis of the Sin Premium in the US, European, and Asia-Pacific Markets
(2023) NEKN02 20231Department of Economics
- Abstract
- This thesis aims to explain the return of so-called sin stocks, which include businesses operating in the alcohol, tobacco, gambling, weapon, and oil & gas industries. Due to their negative public perception, these stocks are anticipated to yield a sin premium. This study analyses the potential variation of sin premiums across three different markets, specifically the US, European, and Asia-Pacific markets. By employing three different factor models introduced by Fama and French and Carhart, we analyze the presence of a sin premium across the three markets. Our findings indicate that there is no consistent sin premium; however, investors may realize an outperformance by selectively investing in specific industries within the European... (More)
- This thesis aims to explain the return of so-called sin stocks, which include businesses operating in the alcohol, tobacco, gambling, weapon, and oil & gas industries. Due to their negative public perception, these stocks are anticipated to yield a sin premium. This study analyses the potential variation of sin premiums across three different markets, specifically the US, European, and Asia-Pacific markets. By employing three different factor models introduced by Fama and French and Carhart, we analyze the presence of a sin premium across the three markets. Our findings indicate that there is no consistent sin premium; however, investors may realize an outperformance by selectively investing in specific industries within the European (tobacco) and Asia-Pacific (alcohol and tobacco) markets. Furthermore, we investigate the behavior of sin stocks during both the financial crisis and the COVID-19 pandemic. Our analysis shows no discernible state-varying behavior in the US and European markets. Nonetheless, the Asia-Pacific market demonstrates an outperformance of alcohol stocks during the financial crisis and tobacco stocks during the COVID-19 crisis. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/9123459
- author
- Widmer, Tizian LU and Scholl, Tim LU
- supervisor
- organization
- course
- NEKN02 20231
- year
- 2023
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- Sin Stocks, Factor Models, USA, Europe, Asia-Pacific
- language
- English
- id
- 9123459
- date added to LUP
- 2023-11-24 08:58:37
- date last changed
- 2023-11-24 08:58:37
@misc{9123459, abstract = {{This thesis aims to explain the return of so-called sin stocks, which include businesses operating in the alcohol, tobacco, gambling, weapon, and oil & gas industries. Due to their negative public perception, these stocks are anticipated to yield a sin premium. This study analyses the potential variation of sin premiums across three different markets, specifically the US, European, and Asia-Pacific markets. By employing three different factor models introduced by Fama and French and Carhart, we analyze the presence of a sin premium across the three markets. Our findings indicate that there is no consistent sin premium; however, investors may realize an outperformance by selectively investing in specific industries within the European (tobacco) and Asia-Pacific (alcohol and tobacco) markets. Furthermore, we investigate the behavior of sin stocks during both the financial crisis and the COVID-19 pandemic. Our analysis shows no discernible state-varying behavior in the US and European markets. Nonetheless, the Asia-Pacific market demonstrates an outperformance of alcohol stocks during the financial crisis and tobacco stocks during the COVID-19 crisis.}}, author = {{Widmer, Tizian and Scholl, Tim}}, language = {{eng}}, note = {{Student Paper}}, title = {{Sin Stocks: An Analysis of the Sin Premium in the US, European, and Asia-Pacific Markets}}, year = {{2023}}, }