죄악주식의 초과수익률 결정요인: 경기변동 및 사회적 요인 차이 중심으로

• 영문명: The Determinants of the Abnormal Return on Sin Stocks: Based on Economic Conditions and the Differences in Social Factors
• 발행기관: 한국무역연구원
• 저자명: 변종국(Jong-Cook Byun) 이정우(Jung-Woo Lee)
• 간행물 정보: 『무역연구』제15권 제4호, 389~404쪽, 전체 16쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.08.30

영문 초록

Purpose – This study is to analyze the determinants of the abnormal return on sin stocks on the basis of the social norm and the neglected-firm effect hypothesis. The social norm and neglected-firm effect are measured by the trading turn-over and the number of reports provided by analyst. Design/methodology/approach – The data of sin stocks are divided into several subgroups such religion, geographic, economic level of living, and social level. After controlling the firm characteristic variables and the economic trends, the cross sectional panel regression was performed on the trading turn-over and the reporting number provided in the analyst’s reports. Findings – Result revealed that sin stocks have positive abnormal return, and such stocks, as compared to control group, are underestimated in the market in spite of superior profitability and debt equity ratio. The abnormal returns of sin stocks are explained by the social norm effect rather than the neglected-firm effect under consideration with respect to the economic condition. Research implications or Originality – Results implicate that investors are reluctant to buy sin stocks because of the negative social perceptions for sin products and therefore sin stocks are underestimated and the expected returns of these stocks are likely to be high. And another implication is that the social norm effect is dominant to explain the abnormal return of sin stocks, and furthermore, it is found that economic level and social corruption level are key determinant to social norm effects.

목차

Ⅰ. 서론

Ⅱ. 선행연구

Ⅲ. 표본선정 및 연구방법

Ⅳ. 실증분석 결과

Ⅴ. 결론

키워드

Neglected-firm Effect Cross Sectional Panel Regression Si n Stock Social Norm Effects