Ziegler, Andreas, Klaus Rennings, and Michael Schroder. "The Effect of Environmental and Social Performance on the Shareholder Value of European Stock Corporations." Centre for European Economic Research (ZEW). November 20, 2002.

Examines the impact of social and environmental risks (this data comes from data from Sarasin & Cie) on 214 European corporations for the January 1996 - August 2001 time period using a CAPM-based multifactor attribution analysis of monthly returns. Finds that improving environmental scores had a significant positive effect on returns (Z>2.0 in both models used).

Concludes that "the stock market rewards investments in stock corporations of clean sectors (with otherwise similar corporate properties e.g. concerning financial variables)." BUT, also finds that "an increasing social sector performance has a negative effect on the average monthly stock return," although this was statistically significant in only one of the two models used. The authors note, however, that causality is open to question - it is not clear whether companies with improving environmental records outperform, or whether outperforming companies are in a better position to improve their environmental records.

See also Butz and Plattner (2000).