Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone
Journal Title: Journal of Banking and Financial Economics - Year 2016, Vol 2, Issue 6
Abstract
This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index consisting of listed Eurozone companies operating in selected vice industries is created and subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurozone. The tools used to conduct the performance evaluation are the Sharpe ratio, the capital asset pricing model and the Carhart four-factor model. The analysis indicates no consistent outperformance or underperformance of one or the other index, yet the realised performance over the whole period favours the vice index. Consequently, it can be concluded that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
Authors and Affiliations
Toni Vide
Keywords
Related Articles
- EP ID EP349038
- DOI 10.7172/2353-6845.jbfe.2016.2.6
- Views 70
- Downloads 0
Global Thermoeconomics
This paper illustrates that basic global economic concepts can be directly related to the First and Second Laws of Thermodynamics. We believe that all economic returns are from nothing except from current and past human...
The Day After Tomorrow: Designing an Optimal Fiscal Strategy for Libya
Libya is highly dependent on exhaustible and volatile hydrocarbon resources, which constitute the bulk of government revenues. Although resource wealth provides the means to promote socio-economic development, procyclica...
Euro-area labour markets: Different reaction to shocks?
A small labour market model for the six largest euro-area countries (Germany, France, Italy, Spain, the Netherlands and Belgium) is estimated in a state space framework. The model entails, in the long run, four driving f...
Animal Spirits and Risk in Financial Markets
Keynes argues that a beauty contest in financial markets is a combination of rational higher-order beliefs and market psychology or animal spirits. We find that a stable equilibrium, where also market psychology is inclu...
Determinants of Banks’ Net Interest Margins in Honduras
This paper analyzes the determinants of banks’ net interest margins in Honduras during the years 1998 to 2013 – a period characterized by increasing banks’ net interest margins, foreign bank participation and consolidati...