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.

Link:  http://jpm.iijournals.com/content/35/1/82