Decoding Sin Stocks Anomaly: A Framework‐Based Review and Research Agenda

Despite systematic shifts in investors' preferences and fund flows toward socially responsible investing (SRI) and environmental, social, and governance (ESG) investing, sin stocks have delivered superior returns, called the sin stock anomaly. Studies focusing on sin stock anomaly remain scattered and overshadowed by the extant SRI/ESG literature. This study bridges the gap, conducting a TCCM framework‐based systematic review of 40 high‐quality articles to delve into the different theoretical perspectives, contexts, characteristics, and methods for a holistic understanding of the anomaly. It also proposes a unified framework and sets the future research agenda. The findings suggest social norms, religious and cultural beliefs are crucial in shaping investor behavior and sustainable investors’ investing practices chiefly contribute to the anomaly. We conclude that engagement with sin companies rather than exclusion can drive meaningful change. The findings have implications for investors, portfolio managers and policymakers in understanding sin stock anomaly to make informed decisions.