Return performance of sin stocks: Evidence from Western European market

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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.

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Thesis advisor

Kokkonen, Joni

Keywords

sin stocks, Western Europe, abnormal return, Covid-19

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