Abramson, Lorne, and Dan Chung. "Socially Responsible Investing: Viable for Value Investors?" Journal of Investing, Fall 2000.
Tests two value strategies on the Domini Social Index list, using Compustat price-only data. Finds that a rebalancing strategy of ranking DSI stocks by valuation each quarter yielded 18.9% average annualized return vs. an average of 16.7% for three value benchmarks for the time period Q4:90-Q1:99. Sharpe ratio was 0.99 vs. benchmark average of 0.93. A buy and hold strategy, in which a group of stocks was purchased in Q4:90 and held through Q1:99 had good nominal returns (17.5%), but a below-benchmark Sharpe ratio of 0.85.
For both tests, results were measured on a capitalization-weighted basis, and both tests assumed no transaction costs.
A good summary of this study appeared in the May 2001 CFA Digest.