Graduation Year


Date of Submission


Document Type

Open Access Senior Thesis


Robert Day School Prize for Best Senior Thesis in Economics and Finance

Degree Name

Bachelor of Arts



Reader 1

Eric Hughson

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In this paper, I estimate the monthly alpha of sin stocks as a means to assess the influence that ESG investors exert on the public equity markets. I hypothesize that the systematic avoidance of sin stocks leads to the outperformance of a broad sin portfolio relative to conventional market benchmarks. Further, given the increase in the proportion of ESG-oriented assets under management in recent years, I hypothesize that the observed alpha in more recent periods exceeds that of prior periods. Consistent with the first plank of my hypothesis, I provide strong evidence for the outperformance of sin stocks over time despite time-varying alpha. Conversely, I find that the alpha in more recent time periods associated with an increase in the proportion of ESG-oriented capital has deteriorated and turned negative, inconsistent with the second plank of my hypothesis. I then propose a theory to explain this divergence in results from my hypothesis.