@article{ref1,
title="Fewer reasons to sin: a five-factor investigation of vice stock returns",
journal="Managerial Finance",
year="2017",
author="Richey, Greg",
volume="43",
number="9",
pages="1016-1033",
abstract="PURPOSE The purpose of this paper is to investigate the return performance of a portfolio of US &quot;vice stocks,&quot; firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders. <br><br>DESIGN/METHODOLOGY/APPROACH Using daily return data from a portfolio of vice stocks over the period 1987-2016, the author computes the Jensen's α (capital asset pricing model (CAPM)), Fama-French Three-Factor, Carhart Four-Factor, and Fama-French Five-Factor results for the complete portfolio, and each vice industry individually. <br><br>FINDINGS The results from the CAPM, Fama-French Three-Factor Model, and the Carhart Four-Factor Model show a positive and significant α for the vice portfolio throughout the sample period. However, the α's significance disappears with the addition of the explanatory variables from the Fama-French Five-Factor Model. <br><br>ORIGINALITY/VALUE The author provides academics and practitioners with results from a new model. As of this writing, the author is unaware of any articles published in peer-reviewed academic journals that investigate vice stocks within the framework of the Fama-French Five-Factor Model (2015). First, the existing literature does not shed light on the relationship between &quot;profitability&quot; and &quot;aggressiveness&quot; (the fourth and fifth factors of the Fama-French Model) and vice stock returns. Second, within the framework of the Fama-French Five-Factor Model, the author shows results not only from a portfolio of vice stocks, but from various vice industries as well.<p /> <p>Language: en</p>",
language="en",
issn="0307-4358",
doi="10.1108/MF-09-2016-0268",
url="http://dx.doi.org/10.1108/MF-09-2016-0268"
}