D'Antonio, Johnsen, and Hutton (1997)

D'Antonio, Louis, Tommie Johnsen, and R. Bruce Hutton. "Expanding Socially Screened Portfolios: An Attribution Analysis of Bond Performance." Journal of Investing, Winter 1997.

Compares a socially screened portfolio of 140 bond issues with the Lehman Brothers Corporate Bond Index for the 1990-1996 time period and finds no material difference in returns. "There was no significant difference between the portfolios even when the term structure was decomposed and examined related to its shift, twist, and butterfly movements."


Link:  http://joi.iijournals.com/content/6/4/79