Using firms in the MSCI KLD 400 as exemplars of virtuous firms (the "Saints"), and firms in the "Triumvirate of Sin" – alcohol, tobacco and gaming – we utilize a modification of the Feltham and Ohlson (1995) valuation model and quantile regressions to estimate "Saint premiums" and "Sinner...

On the basis of raw return analysis, economically significant anomalies appear to exist in relation to the size, momentum, book-to-market and profitability of Australian firms. However, characteristic-sorted portfolios are shown to load in very particular ways on multiple risk factors. After...