Lane and Feng (2003)

Lane, Marc J. and Jijun Feng. "A Reconsideration of Behavioral Screening: The Case for Advocacy Investing." Chicago: Law Offices of Mark J. Lane, June 27, 2003.

Backtests the performance impact of a group of proprietary social and financial metrics on the stocks in the Russell 3000 index for the January 1995 - June 2002 time period. Notably different from other studies of SRI performance in that the social research is internally generated, not from the typical 3rd-party research vendors, and is intended to positively impact portfolio performance. The implementation of the social screens is also noteworthy - a point scoring system with variable cutoffs is used, instead of the customary stepwise application of exclusionary screens. The author notes that this approach has been adopted by (among others) ABP, the largest pension fund in Europe. Finds positive risk-adjusted returns to a variety of social variables even after adusting size, growth, and P/B ratio. Finds that returns increase as screening rigor increases, as do P/B ratio and large-cap skewness. The large-cap finding is again different as most studies of conventionally screened portfolios find lower average market caps than unscreened portfolios.