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JOURNAL OF ACCOUNTING AND FINANCE

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

Author(s): SingRu Hoe, Lirong Liu, J. David Diltz, Asli K. Ogunc

Citation: SingRu Hoe, Lirong Liu, J. David Diltz, Asli K. Ogunc ,(2017) "Sinners and Saints: An Alternative Approach to Evaluating the Investment Performance of Sin Funds Versus Sinless Funds" Journal of Accounting and Finance, Vol. 17, Iss. 6, pp. 109-116

Article Type: Research paper

Publisher: North American Business Press

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.