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Do ethics outpace sins?

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  • Karim, Sitara
  • Naeem, Muhammad Abubakr
  • Lucey, Brian M.

Abstract

The fundamental precept of alcohol and gambling stocks relates to higher return premiums, whereas ethical investments are pitched towards meeting environmental, social, and moral concerns of investors. Fostering this argument, the current study examines quantile coherencies among sin stocks, ethical investments and conventional markets. We report noteworthy quantile coherencies among markets at different frequencies reflecting higher diversification, safe-haven, and hedging potential of sustainable markets outpacing sin stocks and conventional markets. We proposed useful implications for practitioners, ethical investors, and policymakers.

Suggested Citation

  • Karim, Sitara & Naeem, Muhammad Abubakr & Lucey, Brian M., 2022. "Do ethics outpace sins?," Finance Research Letters, Elsevier, vol. 47(PB).
    • Handle: RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322002057
    DOI: 10.1016/j.frl.2022.102945
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    References listed on IDEAS

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    1. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2021. "Sustainable investing in equilibrium," Journal of Financial Economics, Elsevier, vol. 142(2), pages 550-571.
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    4. Colonnello, Stefano & Curatola, Giuliano & Gioffré, Alessandro, 2019. "Pricing sin stocks: Ethical preference vs. risk aversion," European Economic Review, Elsevier, vol. 118(C), pages 69-100.
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    8. Fabozzi, Frank J. & Lamba, Asjeet S. & Nishikawa, Takeshi & Rao, Ramesh P. & Ma, K.C., 2019. "Does the corporate bond market overvalue bonds of sin companies?," Finance Research Letters, Elsevier, vol. 28(C), pages 165-170.
    9. Naeem, Muhammad Abubakr & Karim, Sitara, 2021. "Tail dependence between bitcoin and green financial assets," Economics Letters, Elsevier, vol. 208(C).
    10. Lam, Swee-Sum & Zhang, Weina & Jacob, Gabriel Henry, 2015. "The mispricing of socially ambiguous grey stocks," Finance Research Letters, Elsevier, vol. 13(C), pages 81-89.
    11. Karim, Sitara & Lucey, Brian M. & Naeem, Muhammad Abubakr & Uddin, Gazi Salah, 2022. "Examining the interrelatedness of NFTs, DeFi tokens and cryptocurrencies," Finance Research Letters, Elsevier, vol. 47(PB).
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    Cited by:

    1. Rehman, Mubeen Abdur & Irfan, Muhammad & Naeem, Muhammad Abubakr & Lucey, Brian M. & Karim, Sitara, 2023. "Macro-financial implications of central bank digital currencies," Research in International Business and Finance, Elsevier, vol. 64(C).
    2. Patel, Ritesh & Kumar, Sanjeev & Bouri, Elie & Iqbal, Najaf, 2023. "Spillovers between green and dirty cryptocurrencies and socially responsible investments around the war in Ukraine," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 143-162.
    3. Arfaoui, Nadia & Naeem, Muhammad Abubakr & Boubaker, Sabri & Mirza, Nawazish & Karim, Sitara, 2023. "Interdependence of clean energy and green markets with cryptocurrencies," Energy Economics, Elsevier, vol. 120(C).
    4. Naeem, Muhammad Abubakr & Hamouda, Foued & Karim, Sitara & Vigne, Samuel A., 2023. "Return and volatility spillovers among global assets: Comparing health crisis with geopolitical crisis," International Review of Economics & Finance, Elsevier, vol. 87(C), pages 557-575.
    5. Naeem, Muhammad Abubakr & Gul, Raazia & Farid, Saqib & Karim, Sitara & Lucey, Brian M., 2023. "Assessing linkages between alternative energy markets and cryptocurrencies," Journal of Economic Behavior & Organization, Elsevier, vol. 211(C), pages 513-529.

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