Journal of Portfolio Management Vol. 44, No. 1, Fall 2017

重访“罪恶的股票”:“罪恶的股票”异象的解释

作者：D Blitz（quantitative equity research at Robeco Asset Management in Rotterdam, the Netherlands.)

FJ Fabozzi (professor of finance at EDHEC Business School in Nice, France.)

摘要：各种研究报告表明，投资“罪恶的股票”---- 即从诸如酒精、烟草、赌博和武器等人的恶习中赚钱的公司股票---- 在历史上都有显著为正的异常回报。这一发现激发了这样一种假说: “罪恶的股票”在某种程度上是被投资者回避的，以至于它们变得系统地被低估，从而使愿意承担声誉风险的投资者能够从这些股票中赚取回报溢价。在本文中，作者进一步研究了这一概念，发现Fama-French五因素模型中最近新引入的两个质量因子——收益性和投资能够完全解释“罪恶的股票”的表现。本文的研究结果在时间维度和不同的市场维度上都很稳健。简而言之，没有证据表明在控制了对当今资产定价模型的风险因素后，“罪恶的股票”存在声誉风险溢价。

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

D Blitz（quantitative equity research at Robeco Asset Management in Rotterdam, the Netherlands), FJ Fabozzi (professor of finance at EDHEC Business School in Nice, France)

ABSTRACT

Various studies report that investing in “sin stocks”—firms that make money from human vices such as alcohol, tobacco, gambling, and weapons—has historically delivered significantly positive abnormal returns. This finding has inspired the hypothesis that sin stocks are shunned to such an extent that they become systematically underpriced, enabling investors who are willing to bear the reputation risk involved with investing in these stocks to earn a return premium. In this article, the authors further investigate this notion, finding that the performance of sin stocks can be fully explained by the two new quality factors in the recently introduced Fama–French five-factor model, profitability and investment. Their finding is robust over time and across different markets. In short, there is no evidence that sin stocks provide a premium for reputation risk after controlling for their exposure to factors in today’s asset pricing models.

原文链接：

http://jpm.iijournals.com/content/44/1/105

翻译：黄涛