Galema, Plantinga, and Scholten (2009)
Galema, Rients, Auke Plantinga, and Bert Scholten. "The Cost of Socially Responsible Portfolios: Testing for Mean-Variance Spanning." Working Paper, University of Groningen, 2009.
From the authors' abstract: "Investors are no worse off by excluding assets from their portfolio that are not socially responsible in case short sales are banned. In fact, this conclusion holds true for most types of investors; excluding not socially responsible investments does not negatively affect portfolio performance. However, when short sales are permitted, investors are worse off in terms of foregone risk reduction opportunities when bound by most dimensions of social responsibility. This conclusion is based on data for more than 2,000 U.S. companies for the period 1991-2004."