Purpose The purpose of this paper is to investigate the return performance of a portfolio of US “vice stocks,” firms that manufacture and sell products such as alcohol, tobacco, gaming services, national defense and firearms, adult entertainment, and payday lenders....

This article examines the return characteristics of a portfolio of U.S. “vice stocks,” those of firms that manufacture and sell socially irresponsible products such as alcohol, tobacco, gaming and national defense services. First of all, I construct a portfolio using the daily returns of...