Boutin-Dufresne, Francois and Patrick Savaria. "Corporate Social Responsibility and Financial Risk." The Journal of Investing, 13 (Spring 2004), pp. 57-66.

Uses two methods to analyze the risk profiles of 277 Canadian companies for the 1995-1999 time period. The first method, based on CAPM, looks for a correlation between beta and social responsibility (as estimated by the Canadian social investment research service Michael Jantzi Research Associates). The second compares the residual risk of a "responsible portfolio" (the top quartile of the sample as ranked by Jantzi) and a "non-responsible portfolio" (the bottom quartile). Both methods indicate that less-responsible stocks tend to have higher levels of risk than more responsible ones.