Fabozzi and Oliphant (2008)
Fabozzi, Frank J. and Becky J. Oliphant. "Sin Stock Returns." Journal of Portfolio Management, Fall 2008.
From the authors' abstract:
Based on a small subset of the stock universe that has been generally associated with sin-seeking activities, such as alcohol consumption, adult services, gaming, tobacco, weapons, and biotech alterations, the authors find that a sin portfolio produced an annual return of 19% over the study period, unambiguously outperforming common benchmarks in terms of both magnitude and frequency. Several likely reasons for the positive excess returns in sin stocks are identified.
LK comment: Also see Hong and Kacperczyk (2006) for a strong treatment of this topic.