Gil-Bazo, Ruiz-Verdu, and Santos (2008)
Javier Gil-Bazo, Pablo Ruiz-Verdu, and Andre A. P. Santos. “The Performance of Socially Responsible Mutual Funds: The Role of Fees And Management Companies.” Working paper (Universitat Pompeu Fabra; Barcelona Graduate School of Economics (Barcelona GSE)), 2008.
From the authors' abstract: [We] find that in the period 1997-2005, US SRI funds had better before- and after-fee performance than conventional funds with similar characteristics. The differences, however, are driven exclusively by SRI funds run by management companies specialized in SRI. While these funds significantly outperform similar conventional funds, funds run by companies not specialized in SRI underperform their matched conventional funds. We find no significant differences in fees between SRI and conventional funds except in one case: SRI funds are cheaper than conventional funds run by the same management company.
LK comment: Strong paper. Moskowitz Prize Honorable Mention in 2008.