Adler and Kritzman (2008)
Adler, Timothy and Mark Kritzman. “The Cost of Socially Responsible Investing.” Journal of Investing, Fall 2008.
Monte Carlo simulation assuming various levels of investor skill, concludes that skillful investors pursuing responsible investment policies will encounter significant opportunity costs due to restriction of the universe.
LK comment: See Ruud (2013), which responds to this paper, and Geczy, Stambaugh, and Levin (2003) which makes a similar argument.