Stone, Bernell K., John B. Guerard, Jr., Mustafa N. Gultekin, Greg Adams. "Socially Responsible Investment Screening: Strong Evidence of No Significant Cost for Actively Managed Portfolios." Working paper, Marriott School of Finance, Brigham Young University, October 2002.

Builds on earlier work by Guerard (see Guerard, 1997) but lengthens the time horizon and adds new quantitative models. Using KLD data and a proprietary quantitative model, the authors constructed screened and unscreened portfolios with similar risk characteristics for the 1984-1997 time period from a universe of approximately 1300 stocks. Screened portfolio performance was virtually identical to that of unscreened portfolios.

For the full time period, an unscreened portfolio of the companies ranked in the top quartile by the quantitative model had a monthly Sharpe ratio of 0.28. Portfolios screened for defense, environment, nuclear, and a combination of all screens also had a Sharpe ratio of 0.28. An earlier version of this paper was presented at the third annual "Making a Profit While Making a Difference" conference in New York City, June 14, 1999.

This study received an Honorable Mention from the judging committee in the 2001 Moskowitz Prize competition for the best quantitative study of socially responsible investing.