Butz, Christopher, and Andreas Plattner. "Socially Responsible Investment: A statistical analysis of returns." Basel: Sarasin Sustainable Investment, January 2000.

Analyzes the impact of Sarasin & Cie environmental and social variables on the performance (Jensen's alpha) of 60 European stocks for the mid-May 1997 - mid-May 1999 time period. Finds a statistically significant positive correlation between high environmental score and strong stock performance (p<0.05), this was particularly true when the dataset was limited to environmentally sensitive industries. Finds no significant relationship between social variable and stock performance.

See Ziegler, Rennings, and Schroder (2002), which did a more extensive analysis over a longer time period and had the same conclusion.