Wang, Delgado, and Xu (2017)

Wang, Yanbing, Michael S. Delgado, and Jin Xu.  “Long-term financial incentives for environmental self-regulation - Socially responsible investing and cost of equity capital.”  Working paper (Purdue University), 2017.

From the paper:  "In our baseline models, we find that SRI investment on average does not affect firm cost of equity capital when we control for industry, time, and state fixed effects. In our instrumental variable regressions, we investigate whether our results are driven by sample selection. Our results show that, in contrast to the baseline estimates, the effect of instrumented SRI investment is negative and statistically significant. We contend that this is because our instrumental variables account for external stakeholder pressure, the relationships between the firm and the stakeholders, and potential agency problems that exist in firm environmentally responsible activities, which are associated with firm environmental behavior. These findings indicate that the ability of a firm to maintain sound relationships with its stakeholders and manage agency problems influences the financial benefit the firm may achieve through SRI investment.
Investigating into the effect of SRI investment on different industry groups, we find that the effect is largely heterogeneous across industries. In particular, industry groups that are relatively more diverse and those with relatively less environmental concerns are especially likely to benefit from SRI investment."