MINI-LITERATURES
As the literature of responsible investment grows and develops, we can now see clusters of papers on a number topics evolving over time. Papers in these clusters are often from different academic disciplines, and - given the intermittent attention academics have brought to the field - some of the "conversations" span decades. The lists below represent my first try at naming some of these topics, and identifying important studies in each area. I have tried to keep the lists reasonably short, focus on well-regarded papers, and give credit to early researchers where possible.
Note (1/7/21): The press often reports inaccurately or incompletely on papers in this field. Before taking such reports at face value, take the time to read this thoughtful piece by Alex Edmans of London Business School - link
Manager Compliance with PRI (‘Greenwashing’)
Gibson et al (2020), “Responsible Institutional Investing Around the World” - link
Kim and Yoon (2020), “Analyzing Active Managers' Commitment to ESG: Evidence from United Nations Principles for Responsible Investment." - link
Liang, Sun, and Tech (2020), “Greenwashing.” - link
Active Ownership / Shareholder Engagement
Nesbitt (1994), "Long-Term Rewards from Shareholder Activism: A Study of the CalPERS Effect." - link
Barber (1996), “Monitoring the Monitor: Evaluating CalPERS' Shareholder Activism” - link
Dimson et al (2015), “Active Ownership” - link
Flammer (2013), “Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach” - link
Junkin (2013), “Update to The ‘CalPERS Effect’ on Targeted Company Share Prices” - link
Barko, Cremers, and Renneboog (2017), “Shareholder Engagement on Environmental, Social, and Governance Performance” - link
Dimson, Karakaş, and Li (2018), “Coordinated Engagements” - link
Naaraayanan, Sachdeva, and Sharma (2020), “The Real Effects of Environmental Activist Investing” - link
Flammer, Toffel, and Viswanathan (2021), “Shareholder Activism and Firms' Voluntary Disclosure of Climate Change Risks” - link
Cao et al (2023), “Foreign Institutional Ownership and Corporate Carbon Emissions” - link
Employees / Human Capital
Abowd (1989), "The Effect of Wage Bargains on the Stock Market Value of the Firm." - link
Huselid (1995), "The Impact of Human Resource Management Practices on Turnover, Productivity, and Corporate Financial Performance - link
Graves and Waddock (2000), "Beyond Built-to-Last... Stakeholder Relations in 'Built to Last' Companies." - link
Gorton and Schmid (2000), "Class Struggle Inside the Firm: A Study of German Codetermination." - link
Kurtz and Luck (2002), “An Attribution Analysis of the 100 Best Companies to Work for in America.” - link
Edmans (2007 / 2010), “Does the Stock Market Fully Value Intangibles?” - link
Derwall and Verwijmeren (2007), "Employee Well-Being, Firm Leverage, and Bankruptcy Risk." - link
Flammer (2013), “Does Corporate Social Responsibility Lead to Superior Financial Performance? A Regression Discontinuity Approach” - link
This is often thought of as an engagement study, but most of the engagements reviewed pertained to human capital. -lk
Edmans et al (2017), “Employee Satisfaction, Labor Market Flexibility, and Stock Returns Around the World” - link
Liang, Renneboog, and Vansteenkiste (2017), “Cross-Border Acquisitions and Employee-Engagement” - link
Edmans (2020), Grow the Pie - link
Ji, Rozenbaum, and Welch (2017/2022), “Corporate Culture and Financial Reporting Risk: Looking Through the Glassdoor” - link
Environment / Climate
Myers and Nakamura (1980), “Energy and Pollution Effects on Productivity: A Putty-Clay Approach.” - link
Russo and Fouts (1997), "A Resource-Based Perspective on Corporate Environmental Performance and Profitability." - link
Dowell, Hart, and Yeung (2000), "Do Corporate Environmental Standards Create or Destroy Market Value?" - link
Derwall, Guenster, Bauer, and Koedijk (2005), "The Eco-Efficiency Premium Puzzle." - link
Guenster, Derwall, Bauer, and Koedijk (2005 / 2010), “The Economic Value of Corporate Eco-Efficiency.” - link
Kim and Statman (2011), “Do Corporations Invest Enough in Environmental Responsibility?” - link
Krueger (2015), “Climate Change and Firm Valuation: Evidence from a Quasi-Natural Experiment” - link
Daniel, Litterman, and Wagner (2015), “Applying Asset Pricing Theory to Calibrate the Price of Climate Risk” - link
See also Robert Litterman’s fine 2017 speech, “Pricing of Climate Risk and the Effect on Portfolio Construction” - link
Engel et al (2019), “Hedging Climate Change News” - link
Naaraayanan, Sachdeva, and Sharma (2020), “The Real Effects of Environmental Activist Investing” - link
Pastor, Stambaugh, and Taylor (2022), “Dissecting Green Returns” - link
Fixed Income
D'Antonio, Johnson, and Hutton (1997), "Expanding Socially Screened Portfolios: An Attribution Analysis of Bond Performance." - link
Derwall and Koedijk (2006), "Socially Responsible Fixed-Income Funds." - link
Goss (2007), “Corporate Social Responsibility and Financial Distress” - link
Goss and Roberts (2007), “The Cost of Virtue: Corporate Social Responsibility and the Cost of Debt Financing” - link
Bauer and Hann (2010), “Corporate Environmental Management and Credit Risk” - link
DiBartolomeo (2010), “Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability” - link
Chava (2011), “Environmental Externalities and Cost of Capital” - link
Goss and Roberts (2011), “The Impact of Corporate Social Responsibility On the Cost of Bank Loans” - link
Flammer (2018), “Corporate Green Bonds.” - link
Barth, Hübel, and Scholz (2019), “ESG and corporate credit spreads.” - link
Larcker and Watts (2019), “Where’s the Greenium?” - link
Governance and Incentives
Gompers, Ishii, and Metrick (2001), “Corporate Governance and Equity Prices” - link
Lee and Ng (2002), “Corruption and International Valuation: Does Virtue Pay?” - link
Barber (2006), “Monitoring the Monitor: Evaluating CalPERS' Shareholder Activism” - link
Bebchuk, Cohen, and Wang (2013), “Learning and the Disappearing Association Between Governance and Returns.” - link
Jo, Song, and Tsang (2013), “Corporate Social Responsibility and Stakeholder Governance Around the World” - link
Ferrell, Liang, and Renneboog (2014), “Socially Responsible Firms” - link
Flammer and Bansal (2016), “Does a Long-Term Orientation Create Value? Evidence from a Regression Discontinuity” - link
Flammer et al (2017), “Corporate Governance and the Rise of Integrating Corporate Social Responsibility Criteria in Executive Compensation” - link
Bauer, Derwall, and Pankratz (2018), “Insider Ownership, Governance Mechanisms, and Corporate Bond Pricing Around the World” - link
Performance - Indexes
Luck and Pilotte (1993), "Domini Social Index Performance” - link
Kurtz and diBartolomeo (1996), “Socially Screened Portfolios: An Attribution Analysis of Relative Performance” - link
Statman (2005) - "Socially responsible indexes: Composition, performance, and tracking errors." - link
Kurtz and DiBartolomeo (2011), “The Long-Term Performance of a Social Investment Universe” - link
Trunow and Lindner (2015), Perspectives on ESG Integration in Equity Investing: An opportunity to enhance long-term, risk-adjusted investment performance. - link
Fiordelisi et al (2020), “An ESG Ratings Free Assessment of Socially Responsible Investment Strategies” - link
Performance – Mutual Funds
Hamilton, Jo, and Statman (1993), "Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds." - link
Bauer, Koedijk, and Otten (2002), “International Evidence on Ethical Mutual Fund Performance and Investment Style” - link
Gil-Bazo, Pablo Ruiz-Verdu, and Santos (2008), “The Performance of Socially Responsible Mutual Funds: The Role of Fees And Management Companies” - link
Nofsinger and Varma (2013), “Socially responsible funds and market crises” - link
Brière, Peillex, and Ureche-Rangau (2017), “Do Social Responsibility Screens Matter When Assessing Mutual Fund Performance?” - link
Performance - Sin Stocks
Comment: According to his protege Mark Holowesko (link), John Templeton avoided tobacco and some other sin stocks. Templeton’s track record - one of the best in history - is rarely mentioned in discussions of responsible investment, but perhaps should be. - lk
Hong and Kacperczyk (2006), "The Price of Sin: The Effects on Social Norms on Markets." - link
Fabozzi and Oliphant (2008), "Sin Stock Returns." - link
Statman and Glushkov (2008), “The wages of social responsibility” - link
Kim and Venkatachalam (2011), "Are Sin Stocks Paying the Price for Accounting Sins?” - link
Luo and Balvers (2015 / 2017), "Social Screens and Systematic Investor Boycott Risk." - link
Portfolio Risk
Moskowitz (1972), “Choosing Responsible Stocks” - link
Alexander and Buchholtz (1978), "Corporate Social Responsibility and Stock Market Performance." - link
Rudd (1979), “Divestment of South African Equities: How Risky?” - link
Grossman and Sharpe (1986), “Financial Implications of South Africa Divestment” - link
Angel and Rivoli (1997), “Does Ethical Investing Impose a Cost Upon the Firm? A Theoretical Examination” -link
Guerard (1997), “Is There a Cost to Being Socially Responsible in Investing?” - link
Teoh, Welch, and Wazzan (1997), “The Effect of Socially Activist Investment Policies on the Financial Markets: Evidence from the South African Boycott” - link
Markowitz (2012), “Can You Do Well While Doing Good?” - link
Nofsinger and Varma (2013), “Socially responsible funds and market crises.” - link
Kim et al (2014) – “Corporate social responsibility and stock price crash risk.” - link
Lins, Servaes, and Tamayo (2017) - Social Capital, Trust, and Firm Performance: The Value of Corporate Social Responsibility during the Financial Crisis” - link
See also Robert Litterman’s fine 2017 speech, “Pricing of Climate Risk and the Effect on Portfolio Construction” - link