Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/169119 
Year of Publication: 
2017
Series/Report no.: 
IWH Discussion Papers No. 20/2017
Publisher: 
Leibniz-Institut für Wirtschaftsforschung Halle (IWH), Halle (Saale)
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
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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