European Sin Stocks

Author: Siri Tronslien Sagbakken, Dan Zhang

This article studies sin stocks on the European market over the period 2006-2020. In addition to stocks in alcohol, tobacco, gambling, and defense sectors that are traditionally considered sin stocks, we analyze stocks in carbon-intensive sectors that have newly evolved as sin stocks, such as oil and gas, metals and mining, uranium, and coal. To investigate the return performance of sin stocks, we run time-series regressions with factor models and Fama-MacBeth cross-sectional regressions. Our results suggest that there is no robust sin premium for new sin stocks or traditional sin stocks, either in comparison with the market or their peer stocks. Our analysis on ownership characteristics shows that investors in sin stocks are mainly investment managers, corporations, and individuals. While new sin stocks are popular among institutional investors, traditional sin stocks are less held by norm-constrained investors. Finally, our subsample analyses indicate some potential changes in the market perception of the new sin stocks after the Paris Agreement.

Sagbakken, Siri Tronslien and Zhang, Dan, European Sin Stocks (November 9, 2021). Available at SSRN: or

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