Are Sin Stocks Worth the Sin?

Abstract: In this paper, we empirically test whether sin stocks outperform the financial market in the United States. The time period studied is from 2007-2021. We create a portfolio of all the publicly traded U.S. companies from the following industries: alcohol, tobacco, gaming and cannabis. Each industry is compared to a set virtue of comparables so that we can obtain the accurate return of our sin portfolio. By employing a multi-factor performance measurement we are able to obtain evidence that there is a significant difference in the financial performance of ethical and unethical companies.