Sinners and Saints: An Alternative Approach to Evaluating the Investment Performance of Sin Funds Versus Sinless Funds

Authors

  • SingRu Hoe Texas A&M University - Commerce
  • Lirong Liu Texas A&M University – Commerce
  • J. David Diltz University of Texas at Arlington
  • Asli K. Ogunc Texas A&M University – Commerce

Keywords:

Accounting, Finance, NNM, PSM, Investment

Abstract

We investigate the relative performance of sin versus sinless mutual funds by employing the propensity score matching (PSM) estimator and the bias-adjusted nearest-neighbor matching estimator (NNM) as alternatives to traditional matched-pair analysis. Sin funds generally outperform their sinless cohorts, and the return difference is related positively to the proportion of sin stocks in the portfolio. A notable exception occurs in the financial crisis period of 2007-2009, during which the opposite result holds.

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Published

2017-09-01

How to Cite

Hoe, S., Liu, L., Diltz, J. D., & Ogunc, A. K. (2017). Sinners and Saints: An Alternative Approach to Evaluating the Investment Performance of Sin Funds Versus Sinless Funds. Journal of Accounting and Finance, 17(6). Retrieved from https://articlegateway.com/index.php/JAF/article/view/932

Issue

Section

Articles