| Authors |
Luo, Balvers |
| Journal |
Journal of Financial and Quantitative Analysis |
| Year |
2017 |
| Type |
Published Paper |
| Abstract |
We model the pricing implications of screens adopted by socially responsible investors. The model reproduces the empirically observed abnormal return to sin stock and implies a premium for systematic investor boycott risk that affects targeted as well as nontargeted firms. The investor boycott premium is not displaced by litigation risk, measures of neglect effect, illiquidity, industry momentum, or concentration. The investor boycott risk factor is useful in explaining mean returns across industries, and its premium varies with the relative wealth of socially responsible investors and the business cycle. |
| Keywords |
Socially responsible investing, sin stocks, boycott risk premium, stock returns |
| URL |
https://doi.org/10.1017/S0022109016000910 |
| Tags |
Archival Empirical |
Asset Pricing, Trading Volume and Market Efficiency |
Financing- and Investment Decisions (Individual) |
Theory
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