Pricing Sin Stocks: Ethical Preference vs. Risk Aversion
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Datum
2018-06-14
Autor
Colonnello, Stefano
Curatola, Giuliano
Gioffré, Alessandro
SAFE No.
216
Metadata
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Zusammenfassung
We develop a model that reproduces the average return and volatility spread between sin and non-sin stocks. Our investors do not necessarily boycott sin companies. Rather, they are open to invest in any company while trading off dividends against ethicalness. We show that when dividends and ethicalness are complementary goods and investors are sufficiently risk averse, the model predicts that the dividend share of sin companies exhibits a positive relation with the future return and volatility spreads. Our empirical analysis supports the model's predictions.
Forschungsbereich
Financial Markets
Schlagworte
asset pricing, general equilibrium, sin stocks
JEL-Klassifizierung
D51, D91, E20, G12
Thema
Corporate Finance
Consumption
Saving and Borrowing
Consumption
Saving and Borrowing
Beziehungen
1
Publikationstyp
Working Paper
Link zur Publikation
Collections
- LIF-SAFE Working Papers [334]