Social Screens and Systematic Investor Boycott Risk
研究了社会责任投资者筛选股票对定价的影响，模型重现了罪恶股的异常收益，并揭示了系统性投资者抵制风险溢价，该溢价影响目标和非目标公司，且不能被诉讼风险等因素解释。
We model the pricing implications of screens adopted by socially responsible investors. The model reproduces the empirically observed abnormal return to sin stock and implies a premium for systematic investor boycott risk that affects targeted as well as nontargeted firms. The investor boycott premium is not displaced by litigation risk, measures of neglect effect, illiquidity, industry momentum, or concentration. The investor boycott risk factor is useful in explaining mean returns across industries, and its premium varies with the relative wealth of socially responsible investors and the business cycle.