Hamilton, Jo, and Statman (1993)
Hamilton, S., H. Jo, and M. Statman. "Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds." Financial Analysts Journal, November/December 1993.
Finds no statistically significant difference in the risk-adjusted returns of a group of SRI mutual funds as compared to unscreened funds. See also Statman , which provides a similar, but more up-to-date analysis.
LK comment: Strong paper. I believe this was the first analysis of responsible mutual fund returns with appropriate risk adjustments in a peer-reviewed journal.
Link (published version): https://www.cfapubs.org/doi/abs/10.2469/faj.v49.n6.62