사회관습이 죄악주식의 주가수익률에 미치는 영향: 종교와 지리적 위치를 중심으로

• 영문명: Analyzing the Effects of Social Norms on Sin Stock Excess Returns: From the Viewpoint of Religion and Geographical Location
• 발행기관: 한국무역연구원
• 저자명: 이정우(Jung-Woo Lee) 변종국(Jong-Cook Byun)
• 간행물 정보: 『무역연구』제12권 제5호, 383~400쪽, 전체 18쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2016.10.30

영문 초록

This study analyzes the effect of social norms on sin stocks’ excess return. The geographical and religious factors are simultaneously considered as elements representing social norms. Utilizing 259 firms from 55 different countries, the excess returns are estimated using Jensen’s  as well as Carhart’s 4 factors model. The cross-sectional panel regression is run on the excess returns after controlling the internal and external variables. From the study findings, there exist the statistically significant positive excess returns on sin stocks relative to the geographical factor in the case of Europe, Latin America, and Africa, but not in Asia and North America. These results can be explained by different social perceptions on smoking, alcohol drinking, and gambling. An analysis of the excess return difference relative to religion shows significant positive coefficients in Buddhism and Catholicism, but not in the Protestant and Islam religions since Protestants are prohibited from drinking alcohol and smoking. This therefore influences Protestants’ and Muslims’ investment in sin stocks with excess returns for Protestants showing negative returns even if statistically insignificant. The opposite is true in case of Catholicism and Buddhism where alcohol drinking and smoking are not prohibited for. This study finds significant positive excess return on sin stocks. This result is confirmed in Latin America, where all primarily adopt Catholicism.

키워드

Geographical Location Panel Regression Religion Sin Stocks Social Norm