IDEAS home Printed from https://ideas.repec.org/a/eee/finlet/v33y2020ics1544612318309383.html
   My bibliography  Save this article

Breaking bad: An investment in cannabis

Author

Listed:
  • Weisskopf, Jean-Philippe

Abstract

This paper investigates the risk and return features of an investment in the cannabis industry. It further describes the current state of the market for cannabis and critically examines its potential future development. Findings show that a portfolio of cannabis stocks displays high volatilities and returns, but also low correlations and beta coefficients with regard to overall stock markets, other sin industries or cryptocurrencies. This makes it an interesting addition to financial portfolios.

Suggested Citation

  • Weisskopf, Jean-Philippe, 2020. "Breaking bad: An investment in cannabis," Finance Research Letters, Elsevier, vol. 33(C).
    • Handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318309383
    DOI: 10.1016/j.frl.2019.05.019
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S1544612318309383
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.frl.2019.05.019?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Dirk G. Baur & Brian M. Lucey, 2010. "Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold," The Financial Review, Eastern Finance Association, vol. 45(2), pages 217-229, May.
    2. Derwall, Jeroen & Koedijk, Kees & Ter Horst, Jenke, 2011. "A tale of values-driven and profit-seeking social investors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 2137-2147, August.
    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. Andrew Ang & Assaf A. Shtauber & Paul C. Tetlock, 2013. "Asset Pricing in the Dark: The Cross-Section of OTC Stocks," Review of Financial Studies, Society for Financial Studies, vol. 26(12), pages 2985-3028.
    5. Durand, Robert B. & Koh, SzeKee & Tan, Paul LiJian, 2013. "The price of sin in the Pacific-Basin," Pacific-Basin Finance Journal, Elsevier, vol. 21(1), pages 899-913.
    6. Sebastian Lobe & Christian Walkshäusl, 2016. "Vice versus virtue investing around the world," Review of Managerial Science, Springer, vol. 10(2), pages 303-344, March.
    7. Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
    8. C. Baek & M. Elbeck, 2015. "Bitcoins as an investment or speculative vehicle? A first look," Applied Economics Letters, Taylor & Francis Journals, vol. 22(1), pages 30-34, January.
    9. Eugene F. Fama & Kenneth R. French, 2016. "Dissecting Anomalies with a Five-Factor Model," Review of Financial Studies, Society for Financial Studies, vol. 29(1), pages 69-103.
    10. Hong, Harrison & Kacperczyk, Marcin, 2009. "The price of sin: The effects of social norms on markets," Journal of Financial Economics, Elsevier, vol. 93(1), pages 15-36, July.
    11. Salaber, Julie, 2013. "Religion and returns in Europe," European Journal of Political Economy, Elsevier, vol. 32(C), pages 149-160.
    12. Baur, Dirk G. & Hong, KiHoon & Lee, Adrian D., 2018. "Bitcoin: Medium of exchange or speculative assets?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 54(C), pages 177-189.
    13. Liston, Daniel Perez, 2016. "Sin stock returns and investor sentiment," The Quarterly Review of Economics and Finance, Elsevier, vol. 59(C), pages 63-70.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Chen, Feilong & Choi, Sungchul & Fu, Chengbo & Nycholat, Joshua, 2021. "Too high to get it right: The effect of cannabis legalization on the performance of cannabis-related stocks," Economic Analysis and Policy, Elsevier, vol. 72(C), pages 715-734.
    2. Niszczota, Paweł & Białek, Michał, 2021. "Women oppose sin stocks more than men do," Finance Research Letters, Elsevier, vol. 41(C).
    3. Meunier, L. & Ohadi, S., 2023. "Exclusion strategy in socially responsible investment: One size does not fit all," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    4. Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.
    5. Andrikopoulos, Panagiotis & Gebka, Bartosz & Kallinterakis, Vasileios, 2021. "Regulatory mood-congruence and herding: Evidence from cannabis stocks," Journal of Economic Behavior & Organization, Elsevier, vol. 185(C), pages 842-864.
    6. Pedro Antonio Martín-Cervantes & María del Carmen Valls Martínez, 2023. "Unraveling the relationship between betas and ESG scores through the Random Forests methodology," Risk Management, Palgrave Macmillan, vol. 25(3), pages 1-29, September.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Andreas G. F. Hoepner & Lisa Schopohl, 2018. "On the Price of Morals in Markets: An Empirical Study of the Swedish AP-Funds and the Norwegian Government Pension Fund," Journal of Business Ethics, Springer, vol. 151(3), pages 665-692, September.
    2. Mihir Tirodkar & Henk Berkman, 2023. "Are polluters shunned? A study on the institutional ownership and returns of polluter stocks," The Financial Review, Eastern Finance Association, vol. 58(3), pages 513-537, August.
    3. Lars Hornuf & Gül Yüksel, 2022. "The Performance of Socially Responsible Investments: A Meta-Analysis," CESifo Working Paper Series 9724, CESifo.
    4. Al-Awadhi, Abdullah M. & Dempsey, Michael, 2017. "Social norms and market outcomes: The effects of religious beliefs on stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 50(C), pages 119-134.
    5. 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.
    6. 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.
    7. Borgers, A.C.T., 2014. "Responsible investing : New insights into performance and tastes," Other publications TiSEM 587e777f-c242-4a44-968e-7, Tilburg University, School of Economics and Management.
    8. José Luis Miralles-Quirós & María Mar Miralles-Quirós, 2020. "Who Knocks on the Door of Portfolio Performance Heaven: Sinner or Saint Investors?," Mathematics, MDPI, vol. 8(11), pages 1-18, November.
    9. 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.
    10. Olofsson, Petter & Råholm, Anna & Uddin, Gazi Salah & Troster, Victor & Kang, Sang Hoon, 2021. "Ethical and unethical investments under extreme market conditions," International Review of Financial Analysis, Elsevier, vol. 78(C).
    11. Borgers, Arian & Derwall, Jeroen & Koedijk, Kees & ter Horst, Jenke, 2015. "Do social factors influence investment behavior and performance? Evidence from mutual fund holdings," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 112-126.
    12. Muhammad Abubakr Naeem & Mudassar Hasan & Muhammad Arif & Syed Jawad Hussain Shahzad, 2020. "Can Bitcoin Glitter More Than Gold for Investment Styles?," SAGE Open, , vol. 10(2), pages 21582440209, May.
    13. Ciciretti, Rocco & Dalò, Ambrogio & Dam, Lammertjan, 2023. "The contributions of betas versus characteristics to the ESG premium," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 104-124.
    14. Bhuiyan, Rubaiyat Ahsan & Husain, Afzol & Zhang, Changyong, 2021. "A wavelet approach for causal relationship between bitcoin and conventional asset classes," Resources Policy, Elsevier, vol. 71(C).
    15. Sebastian Lobe & Christian Walkshäusl, 2016. "Vice versus virtue investing around the world," Review of Managerial Science, Springer, vol. 10(2), pages 303-344, March.
    16. Luis Ferruz & Fernando Muñoz & María Vargas, 2012. "Managerial Abilities: Evidence from Religious Mutual Fund Managers," Journal of Business Ethics, Springer, vol. 105(4), pages 503-517, February.
    17. Łukasz Dopierała & Magdalena Mosionek-Schweda & Daria Ilczuk, 2020. "Does the Asset Allocation Policy Affect the Performance of Climate-Themed Funds? Empirical Evidence from the Scandinavian Mutual Funds Market," Sustainability, MDPI, vol. 12(2), pages 1-23, January.
    18. Darren D. Lee & John Hua Fan & Victor S. H. Wong, 2021. "No more excuses! Performance of ESG‐integrated portfolios in Australia," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 61(S1), pages 2407-2450, April.
    19. Ángeles Cebrián-Hernández & Enrique Jiménez-Rodríguez, 2021. "Modeling of the Bitcoin Volatility through Key Financial Environment Variables: An Application of Conditional Correlation MGARCH Models," Mathematics, MDPI, vol. 9(3), pages 1-16, January.
    20. Shu-Han Hsu, 2022. "Investigating the Co-Volatility Spillover Effects between Cryptocurrencies and Currencies at Different Natures of Risk Events," JRFM, MDPI, vol. 15(9), pages 1-15, August.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318309383. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/locate/frl .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.