Gibson and Krüger (2017)
Gibson, Rajna Brandon, and Philipp Krüger. “The Sustainability Footprint of Institutional Investors.” Working paper (Swiss Finance Institute Research Paper 17-05), May 2017.
From the abstract: "We show that portfolios of institutions with longer investment horizons exhibit higher sustainability and that risk-adjusted performance is positively related to sustainability, primarily through a reduction of portfolio risk. Using exogenous shocks to investor sustainability induced by natural disasters we provide evidence of a causal impact of sustainability on risk-adjusted performance."
Link (January 2018 draft): http://fmaconferences.org/2018Trading/gk_v23.pdf