Bauer, Koedijk, and Otten (2002)
Bauer, Rob, Kees Koedijk, and Roger Otten. "International Evidence on Ethical Mutual Fund Performance and Investment Style." Working Paper, January 2002.
Uses multi-factor attribution models to examine the performance of 103 German, UK, and US screened mutual funds for the 1990-2001 time period. After adjusting for investment style, finds no difference in risk-adjusted performance (Jensen's alpha) between screened and unscreened funds. However, the authors note a "learning effect" where older screened funds appear to outperform younger ones [an asset size variable would have been informative here]. Also finds that screened social indexes "are less powerful in explaining fund performance compared to standard, non-ethical indexes."
LK comment: This study won the 2002 Moskowitz Prize.
Link (working paper): https://papers.ssrn.com/sol3/papers.cfm?abstract_id=297882
Link (published): https://econpapers.repec.org/article/eeejbfina/v_3a29_3ay_3a2005_3ai_3a7_3ap_3a1751-1767.htm