Performance of Sin Investing: An Analysis of a Sin Portfolio’s Performance on the American Stock Market in the Period 2000 - 2016

Bastian Funk-Hansen & Lars Kallesøe

Student thesis: Master thesis


Recently, the practice of socially conscious investing, better known as ethical investing or Socially Responsible Investing (SRI), has gained popularity among professional investors. As a derived effect of ethical investing the relatively new investment strategy, unethical investing, has gained focus among practitioners and researchers. This thesis seeks to contribute to the literature on performance of unethical investing in the United States.
The analysis is performed on an unethical portfolio composed of tobacco, alcohol, defence, and gambling stocks listed on the NYSE, NASDAQ or AMEX throughout the investigated period from January 2000 to December 2016.
By applying well-known financial models, this thesis finds no evidence of over performance from an unethical investment strategy through the entire period.
However, when dividing the analysed period into recession and expansion, the thesis finds statistical evidence that unethical investing has given abnormal returns. The results obtained from the analysis during recession shows that unethical investing has underperformed compared to the market. In addition, the analysis finds that the unethical portfolio has outperformed compared to the market during periods with expansion.

EducationsMSc in Finance and Accounting, (Graduate Programme) Final Thesis
Publication date2017
Number of pages108