Chong and Phillips (2016)
Chong, James and G. Michael Phillips. “ESG Investing: A Simple Approach.” The Journal of Wealth Management, Fall 2016.
From the authors' abstract: "In this study, we addressed these issues by utilizing a publicly available ESG stock list (100 Best Corporate Citizens) with investment strategies involving low-volatility investing, mean-variance optimization, and equally-weighted approach, and introducing an innovative method in estimating the return premium due to survivorship bias. Over the period under review, the various strategies and shortlisted ESG stock mutual funds outperformed the S&P 500 index."