References
- Baker, M., and J. Wurgler. 2006. “Investor Sentiment and the Cross-Section of Stock Returns.” The Journal of Finance 61: 1645–1680.
- Blitz, D. 2020. “Factor Performance 2010–2019: A Lost Decade?” The Journal of Index Investing Fall: jii.2020.1.090.
- Blitz, D., and F. J. Fabozzi. 2017. “Sin Stocks Revisited: Resolving the sin stock anomaly.” The Journal of Portfolio Management 44: 105–111.
- Blitz, D., and L. Swinkels. 2021. “Who Owns Tobacco Stocks?” Journal of Asset Management 22: 311–325.
- Braun, M., and B. Larrain. 2005. “Finance and the Business Cycle: International, Inter-Industry Evidence.” The Journal of Finance 60 (3): 1097–1128.
- Carhart, M. M. 1997. “On Persistence in Mutual Fund Performance.” The Journal of Finance 52 (1): 57–82.
- Chen, J., H. Hong, and J. Stein. 2002. “Breadth of Ownership and Stock Returns.” Journal of Financial Economics 66: 171–205.
- Chordia, T., A. Subrahmanyam, and Q. Tong. 2014. “Have Capital Market Anomalies Attenuated in the Recent era of High Liquidity and Trading Activity?” Journal of Accounting and Economics 58: 41–58.
- Derwall, J., K. Koedijk, and J. Ter Horst. 2011. “A Tale of Values-Driven and Profit-Seeking Social Investors.” Journal of Banking & Finance 35 (8): 2137–2147.
- Durand, R. B., S. Koh, and M. Limkriangkrai. 2013a. “Saints Versus Sinners. Does Morality Matter?” Journal of International Financial Markets, Institutions and Money 24: 166–183.
- Durand, R. B., S. Koh, and P. L. Tan. 2013b. “The Price of sin in the Pacific-Basin.” Pacific-Basin Finance Journal 21 (1): 899–913.
- Fabozzi, F. J., K. C. Ma, and B. J. Oliphant. 2008. “Sin Stock Returns.” The Journal of Portfolio Management 35 (1): 82–94.
- Fama, E. F., and K. R. French. 2015. “A Five-Factor Asset Pricing Model.” Journal of Financial Economics 116 (1): 1–22.
- Fama, E. F., and K. R. French. 2018. “Choosing Factors.” Journal of Financial Economics 128 (2): 234–252.
- Fama, E. F., and K. R. French. 2020. “Comparing Cross-Section and Time-Series Factor Models.” The Review of Financial Studies 33 (5): 1891–1926.
- Fama, E. F., and R. Kenneth. 1993. “Common Risk Factors in the Returns on Stocks and Bonds.” Journal of Financial Economics 33 (1): 3–56.
- Gromb, D., and D. Vayanos. 2010. “Limits of Arbitrage.” Annual Review of Financial Economics 2: 251–275.
- Harvey, C. R., Y. Liu, and H. Zhu. 2016. “ … and the Cross-Section of Expected Returns.” Review of Financial Studies 29: 5–68.
- Hirshleifer, D., S. Teoh, and J. Yu. 2011. “Short Arbitrage, Return Asymmetry and the Accrual Anomaly.” Review of Financial Studies 24: 2429–2461.
- Höchstädter, A. K., and B. Scheck. 2009. “What’s in a Name: An Analysis of Impact Investing Understandings by Academics and Practitioners.” Journal of Business Ethics 132 (2): 449–475.
- Hong, H., and M. Kacperczyk. 2009. “The Price of sin: The Effects of Social Norms on Markets.” Journal of Financial Economics 93 (1): 15–36.
- Jacobs, H., and S. Müller. 2020. “Anomalies Across the Globe: Once Public, no Longer Existent?” Journal of Financial Economics 135 (1): 213–230.
- Jones, C., and O. Lamont. 2002. “Short-sale Constraints and Stock Returns.” Journal of Financial Economics 66: 207–239.
- Lamont, O., and R. Thaler. 2003. “Can the Market Add and Subtract? Mispricing in Tech Stock Carve-Outs.” Journal of Political Economy 111: 227–268.
- Liston, D., and G. Soydemir. 2010. “Faith-Based and sin Portfolios.” Managerial Finance 36: 876–885.
- Lobe, S., and C. Walkshäusl. 2016. “Vice Versus Virtue Investing Around the World.” Review of Managerial Science 10 (2): 303–344.
- Marquering, W., J. Nisser, and T. Valla. 2006. “Disappearing Anomalies: A Dynamic Analysis of the Persistence of Anomalies.” Applied Financial Economics 16: 291–302.
- McLean, R. D., and J. Pontiff. 2016. “Does Academic Research Destroy Stock Return Predictability?” The Journal of Finance 71: 5–32.
- Merton, R. C. 1987. “A Simple Model of Capital Market Equilibrium with Incomplete Information.” The Journal of Finance 42 (3): 483–510.
- Nagel, S. 2005. “Short Sales, Institutional Investors and the Cross-Section of Stock Returns.” Journal of Financial Economics 78: 277–309.
- Pástor, Ľ, and R. F. Stambaugh. 2003. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy 111 (3): 642–685.
- Salaber, J. M. 2007. The Determinants of Sin Stock Returns: Evidence on the European Market. Available at SSRN 1071746.
- Salaber, J. M. 2009. Sin Stock Returns Over the Business Cycle. Available at SSRN 1443188.
- Salaber, J. M. 2013. “Religion and Returns in Europe.” European Journal of Political Economy 32: 149–160.
- Shleifer, A., and R. Vishny. 1997. “The Limits of Arbitrage.” Journal of Finance 52: 35–55.
- Stambaugh, R. F., J. Yu, and Y. Yuan. 2012. “The Short of it: Investor Sentiment and Anomalies.” Journal of Financial Economics 104: 288–302.
- Statman, M., and D. Glushkov. 2009. “The Wages of Social Responsibility.” Financial Analysts Journal 65 (4): 33–46.