To sin or not to sin? Now that's the question

Abstract

This study examines the risk and performance of the Vice Fund, an antithesis of socially responsible funds. It also introduces a more robust measure of risk and performance, in the form of the autoregressive conditional heteroscedasticity model, into the socially responsible investing arena. While the traditional unconditional measures highlight the characteristics of each time series over a certain horizon, the conditional alternative allows the daily dynamics of the time series to be examined.