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2016 | WPS 1/2016 | 1-18
Article title

Does it pay to be good? An analysis of vice and virtue stock performance in the Eurozone

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Content
Title variants
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EN PL
Abstracts
EN
This paper provides a performance analysis of vice and virtue stocks in the Eurozone for the period between January 2005 and December 2014. In order to do so, a vice index is created consisting out of listed Eurozone companies, operating in selected vice industries and is subsequently matched with a corresponding virtue index, which for the purpose of this analysis is represented by the DJSI Eurzone. The tools used to conduct the performance evaluation are the Sharpe ratio, the Capital asset pricing model and the Carhart’s four-factor model. The analysis indicates, no consistent out- or under- performance of one or the other index, yet the realized performance over the whole period favours the vice index. Consequently one can conclude, that from a statistical point of view, there is no substantial advantage or disadvantage in being “good” when investing into stocks, as such it is a matter of investor preference, with the note that historical returns do favour vice stocks.
Year
Issue
Pages
1-18
Physical description
Dates
online
2016-01-12
Contributors
author
  • University of Warsaw, Faculty of Management, Poland
References
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Document Type
Publication order reference
Identifiers
ISSN
2300-4371
YADDA identifier
bwmeta1.element.desklight-790e3285-06e7-40cd-86c6-d1ae0d1360f5
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