Hartzmark and Sussman (2018)
Hartzmark, Samuel and Abigail Sussman. “Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows.” European Corporate Governance Institute (ECGI) - Finance Working Paper No. 565/2018, July 2018.
Conducts a natural experiment around the introduction of the Morningstar Globe ratings and finds that they move significant market share from poorly-ranked to highly-ranked funds: "Being categorized as low sustainability resulted in net outflows of more than $12 billion while being categorized as high sustainability led to net inflows of more than $24 billion. Experimental evidence suggests that sustainability is viewed as positively predicting future performance, but we do not find evidence that high sustainability funds outperform low sustainability funds."