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Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models


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Title: Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models
Other Titles: Can Vice be Vindicated? Examining a potential value premium in vice stocks using Fama and MacBeth regressions - a comparison across three different factor models
Authors: Johansson, Anton
Persson, Christian
Issue Date: 12-Jul-2018
Degree: Student essay
Series/Report no.: 201807:123
Uppsats
Keywords: Vice stocks
asset pricing
risk premiums
Fama and MacBeth
Abstract: In this paper, we examine a 30-year period to find whether vice (defined as operations in the alcohol, tobacco, gambling, adult services, and weapons and defense industries) plays a role in determining returns of individual firms on the U.S. stock market. We find no evidence that vice can be expected to affect returns, but rather that expected effects from vice are priced by other factors. However, our analysis does not lead us to conclude that either of the examined risk factors explain the var... more
URI: http://hdl.handle.net/2077/57111
Appears in Collections:Kandidatuppsatser i finansiell ekonomi

 

 

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