Do the Nice Guys Go Home Empty Handed?
(2006)Department of Economics
- Abstract
- The aim of this study is twofold. First, the performance of sin stocks in the United States is analyzed. As performance measure I use Jensen’s alpha in a single- and multifactor framework. The performance analysis of sin stocks shows if investors who choose to invest their money in socially irresponsible companies benefit from their sinful behaviour. The second aim is to investigate the risk-return characteristics of sinful investments. This is done by measuring the effects certain market factors such as size, value versus growth or momentum effects have on sin stocks.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/1337717
- author
- Olsson, Marcus
- supervisor
- organization
- year
- 2006
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- CAPM, Sin Stocks, Multi-factor models, Economics, econometrics, economic theory, economic systems, economic policy, Nationalekonomi, ekonometri, ekonomisk teori, ekonomiska system, ekonomisk politik
- language
- English
- id
- 1337717
- date added to LUP
- 2006-04-20 00:00:00
- date last changed
- 2010-08-03 10:49:14
@misc{1337717, abstract = {{The aim of this study is twofold. First, the performance of sin stocks in the United States is analyzed. As performance measure I use Jensen’s alpha in a single- and multifactor framework. The performance analysis of sin stocks shows if investors who choose to invest their money in socially irresponsible companies benefit from their sinful behaviour. The second aim is to investigate the risk-return characteristics of sinful investments. This is done by measuring the effects certain market factors such as size, value versus growth or momentum effects have on sin stocks.}}, author = {{Olsson, Marcus}}, language = {{eng}}, note = {{Student Paper}}, title = {{Do the Nice Guys Go Home Empty Handed?}}, year = {{2006}}, }