Return performance of sin stocks: Evidence from Western European market

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Journal Title
Journal ISSN
Volume Title
School of Business | Bachelor's thesis
Date
2021
Major/Subject
Mcode
Degree programme
Rahoitus
Language
fi
Pages
22 + 7
Series
Abstract
In this paper, I investigate the monthly returns of a portfolio consisting of sin stocks in Western Europe over the period 2000 to 2021 and during the ongoing Covid-19 pandemic. Sin stocks in this paper include companies involved in alcohol, tobacco and gambling industries. I find that the Sin Portfolio – portfolio consisting of sin stocks – provides investors significant abnormal returns over the market portfolio over the long term. Furthermore, I examine the industry returns individually and by excluding each industry from the Sin Portfolio one by one. I find that gambling drives at least partly the returns of the Sin Portfolio as the significance disappears when I exclude gambling stocks from the Sin Portfolio. The Sin Portfolio provides positive but not significant returns during Covid-19. However, I find significant abnormal returns among gambling stocks during the pandemic. Results suggest that gambling stocks drive the returns of the Sin Stock portfolio at least partly.
Description
Thesis advisor
Kokkonen, Joni
Keywords
sin stocks, Western Europe, abnormal return, Covid-19
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Citation