아시아 주요시장에서죄악주식의 투자성과에 대한 실증분석

Title
아시아 주요시장에서죄악주식의 투자성과에 대한 실증분석
Other Titles
The Performance Analysis of Sin Stocks in the Asian Leading Stock Markets
Author(s)
변종국
Keywords
social norm; sin stocks; socially responsible investment fund; vice fund; Jensen’s alpha; Fama-MacBeth’s 4 factor model; time series cross sectional regression.
Issue Date
201402
Publisher
한국무역연구원
Citation
무역연구, v.10, no.1, pp.557 - 579
Abstract
We examine the financial performance of sin stocks- publicly traded stocks in the gambling, and alcoholindustries-in the Asian leading stock markets of Korea, China, Japan, Hongkong, and Singapore. We collect the89 sin stocks as well as 89 comparable stocks from the stock exchanges of 5 countries over the period fromMarch 1992 to February 2012. Our research shows that the sin stocks significantly outperform the market at the10% significant level. The Jensen’s  of sin stocks is 38bps/month, which means that the sin stocks outperformthe market by 4.56% per year. Among the 5 countries, China has the highest performance in the sin stocks. Inthe results of comparing the sin stocks with comparable stocks by using the 4 factor model, the investmentperformance of sin stocks is superior relative to a control group. The sin stocks outperform the comparablestocks by 24 bps/month(annual 2.88%). In order to examine the difference between the before and after Asianforeign exchange market’s crisis, we divide the sample period into before and after the 1997 crisis. We find thesin stock’s out-performance for the post-crisis, but not for the before-crisis. After controlling the firmcharacteristic variables, we still confirm that the sin stocks outperform the comparable stocks at 10 %significance level.
URI
http://hdl.handle.net/YU.REPOSITORY/33078
ISSN
1738-8112
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경영대학 > 경영학과 > Articles
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