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To sin or not to sin? Now that's the question

Author

Listed:
  • James Chong

    (Real Estate, and Insurance, California State University, Northridge)

  • Monica Her
  • G. Michael Phillips

Abstract

This study examines the risk and performance of the Vice Fund, an antithesis of socially responsible funds. It also introduces a more robust measure of risk and performance, in the form of the autoregressive conditional heteroscedasticity model, into the socially responsible investing arena. While the traditional unconditional measures highlight the characteristics of each time series over a certain horizon, the conditional alternative allows the daily dynamics of the time series to be examined.

Suggested Citation

  • James Chong & Monica Her & G. Michael Phillips, 2006. "To sin or not to sin? Now that's the question," Journal of Asset Management, Palgrave Macmillan, vol. 6(6), pages 406-417, March.
    • Handle: RePEc:pal:assmgt:v:6:y:2006:i:6:d:10.1057_palgrave.jam.2240191
    DOI: 10.1057/palgrave.jam.2240191
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    Citations

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    Cited by:

    1. Jedynak Tomasz, 2017. "Is it Worth Being Good? – The Efficiency and Risk of Socially Responsible Investing in Light of Various Empirical Studies," Financial Internet Quarterly (formerly e-Finanse), Sciendo, vol. 13(3), pages 1-14, September.
    2. Kamil, Nazrol K.M. & Bacha, Obiyathulla I. & Masih, Mansur, 2021. "Is there a diversification “cost” of Shari’ah compliance? Empirical evidence from Malaysian equities," Economic Systems, Elsevier, vol. 45(1).
    3. Durand, Robert B. & Koh, SzeKee & Limkriangkrai, Manapon, 2013. "Saints versus Sinners. Does morality matter?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 24(C), pages 166-183.
    4. Teresa Czerwinska, 2012. "The effectiveness of Social Responsible Investment on the stock market (Efektywnosc inwestycji spolecznie odpowiedzialnych na rynku akcji)," Problemy Zarzadzania, University of Warsaw, Faculty of Management, vol. 10(39), pages 129-140.
    5. Pieter Jan Trinks & Bert Scholtens, 2017. "The Opportunity Cost of Negative Screening in Socially Responsible Investing," Journal of Business Ethics, Springer, vol. 140(2), pages 193-208, January.
    6. Nelson Areal & Maria Cortez & Florinda Silva, 2013. "The conditional performance of US mutual funds over different market regimes: do different types of ethical screens matter?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(4), pages 397-429, December.
    7. Fraile, Isabel acero & Fradejas, Nuria alcalde, 2012. "Gobierno Corporativo y Rendición de Cuentas: ¿Existe Algún Efecto Sobre la Performance Empresarial?," Revista de Contabilidad - Spanish Accounting Review, Elsevier, vol. 15(1), pages 143-178.
    8. Gariet WS Chow & Robert B Durand & SzeKee Koh, 2014. "Are ethical investments good?," Australian Journal of Management, Australian School of Business, vol. 39(4), pages 645-665, November.
    9. Gregor Dorfleitner & Michaela Leidl & Johannes Reeder, 2012. "Theory of social returns in portfolio choice with application to microfinance," Journal of Asset Management, Palgrave Macmillan, vol. 13(6), pages 384-400, December.
    10. repec:dau:papers:123456789/7347 is not listed on IDEAS
    11. Henriques, Irene & Sadorsky, Perry, 2018. "Investor implications of divesting from fossil fuels," Global Finance Journal, Elsevier, vol. 38(C), pages 30-44.
    12. Jeremy Galbreath, 2013. "ESG in Focus: The Australian Evidence," Journal of Business Ethics, Springer, vol. 118(3), pages 529-541, December.
    13. Novak, Jiri & Bilinski, Pawel, 2018. "Social stigma and executive compensation," Journal of Banking & Finance, Elsevier, vol. 96(C), pages 169-184.
    14. Sebastian Lobe & Christian Walkshäusl, 2016. "Vice versus virtue investing around the world," Review of Managerial Science, Springer, vol. 10(2), pages 303-344, March.
    15. Yang Zhang, 2018. "Corporate Governance Effects on Risk Management and Shareholder Wealth: The Case of Mergers and Acquisitions," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 4-2018, January-A.
    16. Sadorsky, Perry, 2014. "Modeling volatility and conditional correlations between socially responsible investments, gold and oil," Economic Modelling, Elsevier, vol. 38(C), pages 609-618.
    17. Fu, Yufen & Wright, Danika & Blazenko, George, 2020. "Ethical Investing Has No Portfolio Performance Cost," Research in International Business and Finance, Elsevier, vol. 52(C).
    18. Mahmoud Haddad & Ghassem Homaifar & Said Elfakhani & Hikmat Ahmedov, 2008. "Intertemporal Test of Beta Stationarity Performance of Islamic Sector Structured Mutual Funds," Working Papers 427, Economic Research Forum, revised 09 Jan 2008.
    19. Hannah Oh & John Bae & Sang-Joon Kim, 2017. "Can Sinful Firms Benefit from Advertising Their CSR Efforts? Adverse Effect of Advertising Sinful Firms’ CSR Engagements on Firm Performance," Journal of Business Ethics, Springer, vol. 143(4), pages 643-663, July.
    20. Timo Busch & Nils Lehmann & Volker H. Hoffmann, 2012. "Corporate Social Responsibility, Negative Externalities, and Financial Risk: The Case of Climate Change," Tinbergen Institute Discussion Papers 12-102/IV/DSF40, Tinbergen Institute.

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