Russo and Fouts (1997)
Russo, Michael V., and Paul A. Fouts. "A Resource-Based Perspective on Corporate Environmental Performance and Profitability." Academy of Management Journal, June 1997.
Analyzes the performance of 243 stocks for the years 1991 and 1992 using the Compustat database. Using environmental data developed by Franklin Research and Development Corporation, the authors find that, after controlling for industry concentration, industry growth rate, firm growth rate, firm size, capital intensity, and advertising intensity, environmental rating has a statistically significant positive impact on the firm's return on assets (p<0.01). The effect is small - incremental improvement in r2 was 0.01 - but highly significant (F-test for change in r2 > 8.00). The relationship was stronger for firms in higher-growth industries. The study also includes a concise and informative review of the literature of resource-based competitive advantage.
LK comment: This study won the 1998 Moskowitz Prize.