Teoh, Welch, and Wazzan (1999)

Teoh, Siew Hong, Ivo Welch, and C. Paul Wazzan. "The Effect of Socially Activist Investment Policies on the Financial Markets: Evidence from the South African Boycott." Journal of Business, 1999, vol. 72, no. 1.

Examines the impact of the South Africa boycott in the mid-1980s via analysis of the country's macroeconomy, stock price impact of divestment announcements, and changes in institutional equity ownership. The event-study portion of the analysis identifies 10 potentially important political events between March 1985 and October 1986, and estimates their market impact. The authors conclude that "despite the publicity of the boycott and the multitude of divesting companies, political pressure had little visible effect on the financial markets."

LK comment:  This study won the 1999 Moskowitz Prize.  Many papers were written from 1980-2000 on the financial effects of the South Africa boycott, with little consensus emerging.  For many observers, this thorough and careful paper marked the 'last word' on market impacts from the boycott.  The paper also emboldened some responsible investors: if markets were big and liquid enough to handle the massive South Africa boycott, surely other, less restrictive policies could be accommodated as well?

See also Rudd (1979), and Grossman and Sharpe (1986).

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=138589