Richey, Greg M. “Can Naughty Be Nice for Investors: A Multi-Factor Examination of Vice Stocks.” Journal of Law and Financial Management (University of Sydney), 2014.
From the body of the paper: "Empirical results in Table 3 show the portfolio of vice stocks outperforms the market index (S&P 500); however, unlike results in Hong & Kacperczyk (2009) and Salaber (2007) the alpha is not statistically significant at any level. The alpha remains positive yet insignificant for the Fama- French and Carhart regressions for the entire ViceFund as well as the various industry funds, except the GamFund (Gaming stocks) which yields a negative alpha, indicating underperformance of the gaming industry against the market portfolio on a risk-adjusted basis for the sample period."
From the conclusion: “This paper employs three traditional, multi-factor performance regressions: Jensen’s alpha, the Fama-French Three-Factor Model and the Carhart Four-Factor Model to analyze the performance of a portfolio of “vice” stocks from several industries [for the October 2007 - October 2013 time period]. My results are similar to those of [other studies] in terms of vice funds containing a positive Jensen’s alpha, indicating an abnormal return for the given level of systematic risk. However, more research needs to be undertaken to examine the impact that the Fama-French and Carhart variables have on the performance of vice stocks.”
LK comment: Strong bibliography