Hoepner and Zeume (2009)

Hoepner, Andreas and Stefan Zeume. "The Dark Enemy of Responsible Investment: Are vicious fund managers market wizards or investment desperados?" Working Paper, University of St. Andrews, 2009.

The paper evaluates the investment performance of The Vice Fund, which "disapproves ESG criteria by concentrating its commitment to 80% equity investment predominantly on U.S. alcohol, aerospace, defence, gambling, and tobacco stocks." The only other study to review this fund, Chong et al (2005), found positive abnormal returns, a finding the authors of the present study dispute. The analysis uses the same time period as Chong et al (9/2002 - 9/2005) but also extends the analysis through 2008, roughly doubling the sample size.

See also Chong et al (2005), Hong and Kacperczyk (2006), Statman and Glushkov (2008), and Fabozzi and Oliphant (2008).

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1485846&rec=1&srcabs=1089827&alg=1&pos=4