Galema, Rients, Auke Plantinga, and Bert Scholtens. "The Stocks at Stake: Return and Risk in Socially Responsible Investment." Journal of Banking and Finance, December 2008.
From the authors' abstract: "We relate US portfolio returns, book-to-market values and excess stock returns to different dimensions of socially responsible performance. We find that socially responsible investing (SRI) impacts on stock returns by lowering the book-to-market ratio and not by generating positive alphas. Our result is consistent with the theoretical work suggesting that SRI is reflected in demand differences between SRI and non-SRI stock. It also explains why so few studies are able to establish a link between alpha’s and SRI."
LK comment: See also Guenster et al (2005), which found rising valuation ratios for good sustainability performers, but also found that these were associated with improvements in capital efficiency.