Researcher ORCID Identifier

Graduation Year


Date of Submission


Document Type

Campus Only Senior Thesis

Degree Name

Bachelor of Arts



Reader 1

Eric Hughson

Rights Information

@ 2023 Joshua C Allen


In this paper, I look to find if investor sentiment is relevant to the abnormal returns of “sin stocks” in countries that might not have similar cultural norms as the United States. To do this, I analyze a similarly large economy with far different cultural norms: China. I start my analysis by assembling a portfolio of “sin stocks'' from the Shanghai, Shenzhen, and Hong Kong stock exchanges and subsequently calculating the monthly alpha of each portfolio. I hypothesize that, given the cultural significance of alcohol and tobacco in China, there will either be no sin premium, or any sin premium seen in the Chinese market will be due to external market factors. In my research, I found that my results backed this hypothesis, with sin stocks outperforming their comparable portfolios by 0.59% monthly in Hong Kong and 0.56% monthly in Shanghai and Shenzhen. This return is nearly double that of the United States, and I propose that external factors such as government intervention and a rapidly growing middle class are potential causes of this “sin premium” seen in China, not investor sentiment. Additionally, I offer my study as a rebuttal to prior research on the subject, instead explaining the sin premium in China as a difference in market effects.

This thesis is restricted to the Claremont Colleges current faculty, students, and staff.