We investigate the performance of the alternative three-factor model across markets. The important U.S. evidence of Chen, Novy-Marx, and Zhang (2010) in favor of the alternative model does not translate to a test setting using data from 40 non-U.S. stock markets. The three-factor model of Fama...

This paper assumes the role of advocatus diaboli by testing whether an investment in sin stocks can financially outperform an investment in socially responsible stocks. We create a set of global, regional, and domestic portfolios consisting of a large number of stocks belonging to what could be...

In this paper, we empirically test the extent to which a portfolio of socially not responsible firms screened out of a market portfolio will trade at a discount. We create a set of global and domestic sin indexes consisting of a large number of publicly traded socially not responsible stocks...