아시아 주요시장에서 죄악주식의 투자성과에 대한 실증분석

The Performance Analysis of Sin Stocks in the Asian Leading Stock Markets

We examine the financial performance of sin stocks- publicly traded stocks in the gambling, and alcohol industries-in the Asian leading stock markets of Korea, China, Japan, Hongkong, and Singapore. We collect the 89 sin stocks as well as 89 comparable stocks from the stock exchanges of 5 countries over the period from March 1992 to February 2012. Our research shows that the sin stocks significantly outperform the market at the 10%, significant level. The Jensen s a of sin stocks is 38bps/month, which means that the sin stocks outperform the market by 4.56% per year. Among the 5 countries, China has the highest performance in the sin stocks. In the results of comparing the sin stocks with comparable stocks by using the 4 factor model, the investment performance of sin stocks is superior relative to a control group. The sin stocks outperform the comparable stocks by 24 bps/month(annual 2.88%). In order to examine the difference between the before and after Asian foreign exchange market s crisis, we divide the sample period into before and after the 1997 crisis. We find the sin stock s out-performance for the post-crisis, but not for the before-crisis. After controlling the firm characteristic variables, we still confirm that the sin stocks outperform the comparable stocks at 10 % significance level.