<p>This paper examines the pricing of sin stocks across religious contexts using monthly data for 833 publicly listed firms from 1990 to 2025. Sin stocks—defined as firms involved in alcohol, tobacco, gambling, or military industries—are matched with sector-specific non-sin counterparts to isolate abnormal returns. The analysis finds that sin stocks consistently earn significant excess returns relative to both industry comparables and the market. The sin premium is strongest in the gambling and military sectors and is notably higher in countries with substantial Abrahamic religious presence, where moral restrictions on vice-related activities are more stringent. In contrast, the premium is weaker or even negative in atheist and non-Abrahamic settings.</p><p>Fama–MacBeth cross-sectional regressions confirm that religious context significantly predicts sin stock return differentials, controlling for firm-level characteristics and broader cultural traits. These findings suggest that religion systematically shapes investor preferences and contributes to persistent mispricing. The study advances the literature on cultural finance, ethical investing, and the role of moral norms in asset pricing.</p>