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The risk of SIN or socially irresponsible stocks

Author

Listed:
  • Alireza Rezaeian

    (University of Saskatchewan)

  • Marie Racine

    (University of Saskatchewan)

Abstract

We demonstrate that the current practice of assuming SIN stocks are riskier than non-SIN stocks is misleading for SIN, or socially irresponsible, investments in alcohol, tobacco and gambling securities. Using annual North American data from 1980 to 2017, we investigate the risk of SIN stocks relative to that of a curated sample of non-SIN firms with similar characteristics and carefully matched using propensity score methodology. Our results show, with the lone exception of idiosyncratic risk of gambling stocks, it is hard to find a category in which the risk of SIN stocks is significantly greater than that of their matched non-SIN counterparts. Further, we find that risk is changing over time, is SIN category dependent and the ability of Corporate Social Responsibility to mitigate risk is also category sensitive.

Suggested Citation

  • Alireza Rezaeian & Marie Racine, 2024. "The risk of SIN or socially irresponsible stocks," Review of Quantitative Finance and Accounting, Springer, vol. 62(2), pages 755-798, February.
    • Handle: RePEc:kap:rqfnac:v:62:y:2024:i:2:d:10.1007_s11156-023-01220-w
    DOI: 10.1007/s11156-023-01220-w
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    References listed on IDEAS

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    More about this item

    Keywords

    SIN stocks; Socially irresponsible stocks; Risk; Corporate social responsibility; Propensity score matching;
    All these keywords.

    JEL classification:

    • G00 - Financial Economics - - General - - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G19 - Financial Economics - - General Financial Markets - - - Other
    • M14 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Business Administration - - - Corporate Culture; Diversity; Social Responsibility

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