The price of sin: The effects of social norms on markets

• 成果类型: Article
• 署名作者: Hong, Harrison; Kacperczyk, Marcin
• 署名单位: Princeton University; New York University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2008.09.001
• 发表日期: 2009
• 页码: 15-36
• 关键词: expected stock returns; INSTITUTIONAL OWNERSHIP; social norms; Sin stocks

摘要

We provide evidence for the effects of social norms on markets by studying sin stocks-publicly traded companies involved in producing alcohol, tobacco, and gaming. We hypothesize that there is a societal norm against funding operations that promote vice and that some investors, particularly institutions subject to norms, pay a financial cost in abstaining from these stocks. Consistent with this hypothesis, we find that sin stocks are less held by norm-constrained institutions such as pension plans as compared to mutual or hedge funds that are natural arbitrageurs, and they receive less coverage from analysts than do stocks of otherwise comparable characteristics. Sin stocks also have higher expected returns than otherwise comparable stocks, consistent with them being neglected by norm-constrained investors and facing greater litigation risk heightened by social norms. Evidence from corporate financing decisions and the performance of sin stocks outside the US also suggest that norms affect stock prices and returns. (C) 2009 Elsevier B.V. All rights reserved.