Richey (2014)

Richey, Greg M.  “Can Naughty Be Nice for Investors:  A Multi-Factor Examination of Vice Stocks.”  Journal of Law and Financial Management (University of Sydney), 2014.

From the body of the paper:  "Empirical results in Table 3 show the portfolio of vice stocks outperforms the market index (S&P 500); however, unlike results in Hong & Kacperczyk (2009) and Salaber (2007) the alpha is not statistically significant at any level. The alpha remains positive yet insignificant for the Fama- French and Carhart regressions for the entire ViceFund as well as the various industry funds, except the GamFund (Gaming stocks) which yields a negative alpha, indicating underperformance of the gaming industry against the market portfolio on a risk-adjusted basis for the sample period."

From the conclusion:  “This paper employs three traditional, multi-factor performance regressions: Jensen’s alpha, the Fama-French Three-Factor Model and the Carhart Four-Factor Model to analyze the performance of a portfolio of “vice” stocks from several industries [for the October 2007 - October 2013 time period]. My results are similar to those of [other studies] in terms of vice funds containing a positive Jensen’s alpha, indicating an abnormal return for the given level of systematic risk. However, more research needs to be undertaken to examine the impact that the Fama-French and Carhart variables have on the performance of vice stocks.” 

LK comment:  Strong bibliography

Link: http://classic.austlii.edu.au/au/journals/JlLawFinMgmt/2014/3.pdf