Brooke, Jackson, Peecher, White (2012)
Elliott, W. Brooke, Kevin E. Jackson, Mark E. Peecher, Brian J. White. “Mitigating the Unintended Effect of Corporate Social Responsibility Performance on Investors’ Estimates of Fundamental Value.” Working paper (University of Illinois at Urbana-Champaign), June 2012.
From the authors' abstract: "[W]e find that when investors are exposed to, but do not explicitly assess, CSR performance, better CSR performance increases their estimates of fundamental value. Explicit investor assessment of CSR performance, however, significantly diminishes this increase. In addition, findings suggest that the increase among investors who do not assess CSR performance occurs subconsciously, i.e., they boost estimated fundamental value with poor self-insight. Supplemental findings shed light on consequences of this poor self-insight: investors who do not assess CSR performance rely on subconsciously boosted estimates of fundamental value to increase the price they are willing to pay to invest in the firm’s stock."
Link (published article): http://aaapubs.org/doi/10.2308/accr-50577?code=aaan-site