Feldman, Stanley, Peter Soyka, and Paul Ameer. "Does Improving a Firm's Environmental Management System and Environmental Performance Result in a Higher Stock Price?" Journal of Investing, Winter 1997.

Argues that superior environmental management should reduce financial risk and firm risk. Estimates betas for 330 of the firms in the S&P 500 stock index for 1980-1987 and 1988-1994. Finds that in a CAPM regression where the assumption of uncorrelated residuals has been relaxed, the firm's proprietary environmental rating models have explanatory power (p < 0.01).