Purpose – The purpose of this paper is to introduce a non‐normality premium (NNP) to identify the extra return that will compensate an investor for a non‐normal return distribution. The NNP quantifies the economic significance of non‐normality to complement a statistical significance...

Stocks appear to have investor clienteles based on their business practices and products. The variety in expressive benefits each individual receives from owning controversial stocks causes them to modify their portfolio to accommodate their beliefs. We examine the ownership of firms with social...