Koehler (2002)

Koehler, Dinah A. "Capital Markets and Corporate Environmental Performance: What Does the Empirical Work Tell Us?" Working Paper. Harvard School of Public Health, 2002. 

This review of the literature of environmental and stock price performance in the 1990s finds several "methodological issues serious enough to throw doubt" on event study findings of a strong relationship. Further argues that "these findings of a negative [short term] relationship should not matter much to long-term investors," since studies imply long-term returns are driven not by environmental news, but by factors such as firm size, Price/Book and P/E ratio, as well as market risk and investor psychology.

See also Dixon (2002).


Link:  http://opim.wharton.upenn.edu/risk/downloads/archive/arch33.pdf