Albuquerque, Durney, and Koskinen (2013)
Albuquerque, Rui, Art Durnev, and Yrjö Koskinen. “Corporate Social Responsibility and Firm Risk: Theory and Empirical Evidence.” Working paper (Boston University School of Management), 2013.
From the abstract: "We model CSR activities as an investment in customer loyalty and show that CSR decreases systematic risk and increases firm value. These effects are stronger for firms producing differentiated goods and when consumers’ expenditure share on CSR goods is small. We find supporting evidence for our predictions."
LK comment: The finding on differentiated goods seems especially noteworthy.