Livieratos, Antonios, and Dimitris Balios. "Ethical Investing and Volatility: A Theoretical Perspective." Working Paper, 2004.

This theoretical paper builds on Angel and Rivoli (1997), analyzing the effect of social screening on the cost of capital of an affected firm using CAPM tools, particularly the incomplete information model first developed by Merton (1987). The authors conclude that a shareholder boycott will have "a substantial double positive effect in a stock's returns volatility. A part of this effect comes from the boycott and the remainder effect from the firm's cost of equity that the boycott induces. This effect will be higher, the smaller the firm is."

The authors also incorporate analysis from Reciheld (1996), which see.