Dhrymes, Phoebus J. "Socially Responsible Investment: Is It Profitable?" The Investment Research Guide to Socially Responsible Investing, The Colloquium on Socially Responsible Investing, 1998.
Reviewed the impact of 17 social indicators provided by KLD on the returns of 464 stocks from 1991-1996, using cross-sectional regression analysis for each year studied. Finds that "in the aggregate there are not perceptible and consistent differences in the (expected or mean) rates of return between firms which are deemed to be socially responsible vis-a-vis the entire universe investigated." This study also provides a particularly clear discussion of the theoretical impact of SRI from both CAPM and APT perspectives.