Lobe and Walkshäusl (2011)

Lobe, Sebastian, and Christian Walkshäusl. “Vice vs. Virtue Investing Around the World.” Working paper (University of Leicester), May 9, 2011.

From the authors’ abstract: “[W]e empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks around the world belonging to what we label as the Sextet of Sin: adult entertainment, alcohol, gambling, nuclear power, tobacco, and weapons… Employing a multi-factor performance measurement framework and recent boot-strap procedures for robust performance testing, we find no compelling evidence in the data that ethical and unethical screens lead to a significant difference in their financial performance.”

Link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1089827