Hamilton, S., H. Jo, and M. Statman. "Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds." Financial Analysts Journal, November/December 1993.

Finds no statistically significant difference in the risk-adjusted returns of a group of SRI mutual funds as compared to unscreened funds. See also Statman [2000], which provides a similar, but more up-to-date analysis.