Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/169119
Authors: 
Colonnello, Stefano
Curatola, Giuliano
Gioffré, Alessandro
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers 20/2017
Abstract: 
We develop a model that reproduces the return and volatility spread between sin and non-sin stocks, where investors trade off dividends with the ethical assessment of companies. We relax the assumption of boycott behaviour and investigate the role played by the dividend share of sin stocks on their return and volatility spread relative to non-sin stocks. We empirically show that the dividend share predicts a positive return and volatility spread. This pattern is reproduced by our model when dividends and ethicalness are complementary goods and investors are sufficiently risk averse.
Subjects: 
asset pricing
general equilibrium
sin stocks
JEL: 
D51
D91
E20
G12
Document Type: 
Working Paper

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