Shunned stocks and market states
研究更新了‘罪恶股’（酒精、烟草、赌博）的回报数据，发现其在2009-2018年间持续跑赢市场，尤其在低流动性和高不确定性状态下表现更好，且能抵御衰退，支持了被回避股票假说。
Hong and Kacperczyk (2009, The price of sin: The effects of social norms on markets. Journal of Financial Economics 93(1), 15–36) document that ‘sin stocks’ (alcohol, tobacco, and gambling) earn relatively high returns on a risk-adjusted basis. We revisit their original study with an updated sample. Contrary to the stylized facts that prominent anomalies attenuate out-of-sample or in the post-publication period (McLean and Pontiff 2016, Does academic research destroy stock return predictability? The Journal of Finance 71, 5–32), we document that the superior performance of sin stocks has persisted over the most recent decade (2009–2018). This is consistent with the increased popularity of socially responsible investing over recent decades, pushing more norm-constrained investors away from sin stocks. Further analyses suggest that sin stocks outperform in low-liquidity states and in high-uncertainty states and are recession-proof. Overall, our work supports the shunned stock hypothesis and indicates the price of sin stocks is alive and well.