Journal article
Social Screens and Systematic Investor Boycott Risk
Abstract
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 …
Authors
Luo HA; Balvers RJ
Journal
Journal of Financial and Quantitative Analysis, Vol. 52, No. 1, pp. 365–399
Publisher
Cambridge University Press (CUP)
Publication Date
February 2017
DOI
10.1017/s0022109016000910
ISSN
0022-1090