Salaber (2009)

Salaber, Julie.  "Sin Stock Returns Over the Business Cycle."  Working paper (University of Bath School of Management), 2009.

From the author's abstract:  "It has been shown empirically that sin stocks earn an abnormal risk-adjusted return compared to industries with similar characteristics. Based on a conditional analysis accounting for different business conditions, I invalidate this hypothesis by first testing a conditional model using different macroeconomic variables and second by looking at earnings growth over expansion and recession periods. Thus, even though sin stocks are unique because of the addictive nature of sin consumption, they are only as recession-proof as some other industry-comparable stocks."