Galema, Rients, Auke Plantinga, and Bert Scholtens. "The Stocks at Stake: Return and Risk in Socially Responsible Investment." Journal of Banking and Finance, December 2008.

Author's summary abstract:

We relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha’s and SRI.

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