Bauer, Rob, Kees Koedijk, and Roger Otten. "International Evidence on Ethical Mutual Fund Performance and Investment Style." Working Paper, January 2002.

Uses multi-factor attribution models to examine the performance of 103 German, UK, and US screened mutual funds for the 1990-2001 time period. After adjusting for investment style, finds no difference in risk-adjusted performance (Jensen's alpha) between screened and unscreened funds. However, the authors note a "learning effect" where older screened funds appear to outperform younger ones [an asset size variable would have been informative here]. Also finds that screened social indexes "are less powerful in explaining fund performance compared to standard, non-ethical indexes." This study won the 2002 Moskowitz Prize competition for the best quantitative study of socially responsible investing.

This study won the 2002 Moskowitz Prize competition for the best quantitative study of socially responsible investing.