Here (in chronological order), are some key studies that every practitioner of SRI should know about. (Be sure to also see Hoepner and McMillan's excellent Influential Literature Analysis, which you can download here.) Consult the Bibliography for more detailed comments on each study:
  • Guerard (1997) finds that social screens have no detrimental impact on his quantitative active management strategy.
  • Angel and Rivoli (1997) use CAPM-based analysis by Merton to show that the impact of a shareholder boycott on a company's cost of capital is likely to be small.
  • Waddock and Graves (1997)* show a strong relationship between corporation reputation (as defined by the Fortune most-admired list) and ratings of corporate social responsibility.
  • Russo and Fouts (1997)* find that, after adjusting for everything imaginable, companies with better environmental records appear to have better-than-average returns on assets.
  • McWilliams and Siegel (1999) find that many event studies of socially responsible investing have been marred by methodological errors. Their analysis forced a reassessment of many studies reporting returns to social variables, and put authors of future event studies on notice that considerable care must be exercised in both study design and data analysis for their findings to be credible.
  • Dibartolomeo and Kurtz (1999) analyzes the Domini Index using a multifactor attribution model and and arbitrage pricing theory model. While agreeing with earlier attribution studies that style effects are generally a wash and that industry effects are important, Dibartolomeo does not agree that there might be an SRI effect at work. His model finds no unexplained performance. The paper is available here.
  • Teoh, Welch, and Wazzan (1999)* find that the South Africa boycott, the largest shareholder boycott to date, had minimal impact on South African securities and securities of U.S. companies doing business in South Africa. Click here for SSRN abstract
  • Repetto and Austin (2000)* use discounted cash flow models and scenario analysis to show that the financial impact of future environmental regulation may be quite material (up to 11% of market value) for U.S. pulp and paper companies in coming years.
  • Dowell, Hart, Yeung (2000)* show that between 1994 and 1997, U.S. multinational corporations with high global environmental standards tended to have higher price/book ratios than companies adopting local environmental standards, even after adjusting for factors such as industry membership, R&D intensity, and advertising intensity.
  • Gompers, Ishii, and Metrick (2001) demonstrate that firms with corporate governance practices favoring management tend to have lower price/book ratios, and that firms in the bottom quartile of their corporate governance ratings had significantly below-average risk-adjusted returns over the 1990-1999 time period.
  • Stone, Guerard, Gultekin, and Adams (2001) show that the returns of a stock selection model were not harmed by the implementation of social screens for the 1984-1997 time period.
  • Bauer, Koedijk, and Otten (2002)* measure the risk-adjusted performance of 103 German, U.S., and U.K. screened mutual funds for the 1990-2001 time period, and find no significant differences betwen their returns and those of unscreened funds. Click here for SSRN abstract
  • Lee and Ng (2002)* find that Transparency International's ratings of national corruption are a powerful explainer of variation in price/book ratios for the 1995-1998 time period.
  • Orlitzky, Schmidt, and Rynes (2003)* perform a meta-analysis of past studies of corporate social performance, and find a statistically significant positive association with corporate financial performance. Click here for a copy of the study
  • Guenster, Derwall, Bauer, and Koedijk (2005)* find that Innovest environmental ratings have a significant relationship with both firm valuation and operating results.
  • Barber (2006)* finds that CalPERS' corporate governance initiatives created over $3 bn in shareholder wealth from 1992-2004. Click here for SSRN abstract.
  • Hong and Kacperczyk (2006) show that tobacco stocks have outperformed market averages for decades, and demonstrate that this is true even after accounting for market risk, size, and valuation effects.
  • Edmans (2007)* finds that stocks of firms on Fortune magazine's '100 Best Companies to Work For' list outperformed market averages, even after accounting for market risk, size, momentum, and style effects.
  • Statman and Glushkov (2008)* confirm Hong and Kacperczyk's findings on sin stocks, but also find that companies with a variety of social positives tend to outperform the market.

: * Denotes Moskowitz Prize winner.