Boutin-Dufresne and Savaria (2004)

Boutin-Dufresne, Francois and Patrick Savaria. "Corporate Social Responsibility and Financial Risk." The Journal of Investing, Spring 2004.

Uses two methods to analyze the risk profiles of 277 Canadian companies for the 1995-1999 time period. The first method, based on CAPM, looks for a correlation between beta and social responsibility (as estimated by the Canadian social investment research service Michael Jantzi Research Associates). The second compares the residual risk of a "responsible portfolio" (the top quartile of the sample as ranked by Jantzi) and a "non-responsible portfolio" (the bottom quartile). Both methods indicate that less-responsible stocks tend to have higher levels of risk than more responsible ones.