Pettengill, Sundaram, and Mathur (1995) respond to the prima facie failure of the standard CAPM and propose a conditional beta model by segmenting the market into two states – up markets (where the market excess return rm–rf is positive) and down markets (where rm–rf is negative). We...

Social norms constrain investors from investing in “sin stocks”, affecting the returns and corporate financial policies of such firms (Hong and Kacperczyk, 2009). This paper finds that “Saints” are influenced by social norms. In almost all instances, where an effect on “Sinners” is...

Hong and Kacperczyk (2009) argue that social norms against sin stocks influence investor behavior and corporate financial policies. This paper examines “sin” stocks in seven Pacific-Basin markets that exhibit a variety of social norms: Australia, India, Japan, South Korea, Malaysia, New...