Brière, Peillex, and Ureche-Rangau (2017)
Brière, Marie, Jonathan Peillex, and Loredana Ureche-Rangau. “Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?” Financial Analysts Journal, Third Quarter 2017.
From the authors' abstract: "[W]e propose a new decomposition of the variability of SR mutual fund returns that isolates the contribution of SR screening, allowing it to be compared with other, traditional sources of performance. Our results, based on a sample of SR equity mutual funds, show that SR screening does contribute to the variability of mutual fund performance, together with asset allocation decisions and active management. This contribution is, on average, between 4% and 10%, roughly two times lower than the contribution made by active portfolio choices."
Link (working paper): https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2381937
Link (published version): https://www.cfapubs.org/doi/abs/10.2469/faj.v73.n3.2