Essays about: "Sin Stock Anomaly"

Found 2 essays containing the words Sin Stock Anomaly.

1. 1. Navigating in the ESG score jungle- A cross-sectional approach to determine the ESG risk factor

   University essay from Göteborgs universitet/Graduate School

   Author : Gustav Pettersson; Mattias Öhrn; [2022-06-29]
   Keywords : Asset Pricing; ESG Investing; ESG Risk Score; Factor Models; Fama-MacBeth Regressions; Time-Series Regressions;

   Abstract : This thesis examines the relationship between ESG scores and yearly excess return between 2010 and 2020 on the S&P 500 Index. With a solid theoretical background regarding investor preferences, we ask whether investors accept lower returns for holding greener assets. READ MORE

3. 2. Does the sinner beat the saint? An empirical study of the Nordic stock market

   University essay from Göteborgs universitet/Graduate School

   Author : Jonathan Winberg; [2019-11-27]
   Keywords : Sin Stocks; Sin Stock Anomaly; Nordic Stock Market; Fama-French Three-Factor Model; CAPM; Asset Pricing Models; Portfolio Asset Management; OLS; Gambling; Tobacco; Alcohol; Weapons; Oil Gas; Self-Financing; Portfolio Strategy;

   Abstract : Abstract This research paper studies the interaction between monthly returns of sin stock portfolios, where the purpose is to get an understanding of what impact an exclusion of sin stocks can have on portfolio returns for Nordic stock investors. OLS (ordinary least squares) time-series regression models are used to execute this research, using data between 1990-2018. READ MORE