Areal, Cortez, and Silva (2010)
Areal, Nelson, Maria Ceu Cortez, and Florinda Silva. “Investing in Mutual Funds: Does it Pay to Be a Sinner or a Saint in Times of Crisis?” Working paper (University of Minho - School of Economics and Management), September 13, 2010.
From the authors' abstract: "Performance [of U.S. responsible mutual funds] is evaluated over different market regimes using a Markov-switching conditional CAPM model that defines different states of the market endogenously. The ‘irresponsible’ fund outperforms in low volatility regimes, but underperforms in high volatility regimes... These findings suggest that socially responsible companies might provide better investments during periods of crisis."
LK comment: See also Nofsinger and Varma (2013).