DOES IT PAY TO BE GOOD? AN ANALYSIS OF VICE AND VIRTUE STOCK PERFORMANCE IN THE EUROZONE

Toni Vide ()
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Toni Vide: University of Warsaw, Faculty of Management, Poland

No 12016, Faculty of Management Working Paper Series from University of Warsaw, Faculty of Management

Abstract: 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.

Keywords: CAPM; Eurozone; Four factor model; Sharpe ratio; Virtue stocks; Vice stocks (search for similar items in EconPapers)
JEL-codes: G11 G15 G17 (search for similar items in EconPapers)
Pages: 18 pages
Date: 2016-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:sgm:fmuwwp:12016

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