Brammer, Brooks, and Pavelin (2006)

Brammer, Stephen, Chris Brooks, and Stephen Pavelin. "Corporate Social Performance and Stock Returns: UK evidence from Disaggregate Measures." Working Paper, Case Business School, City University of London, January 2006.

Examines the social records and returns of 451 U.K. companies included in the FTSE All Share Index as of July 2002.

The companies were scored on social characteristics using social data from the Ethical Investment Research Service (EIRIS) 2002 database. The authors construct four social metrics - Community performance, Environmental performance, Employee performance, and a composite measure, and include interesting analysis of the correlation among these variables.

Performance is evaluated using a Carhart model over one- and two-year periods, although during the short time period studied only the momentum variable was statistically significant (financial data came from Datastream). The authors find statistically significant underperformance by strong social performers, even after adjusting for the Carhart variables: "our main finding is that firms with higher social performance scores tend to achieve lower returns, while firms with the lowest possible CSP scores of zero considerably outperformed the market." Finds that "the environmental and employment indicators are negatively correlated with returns while the community indicator is weakly positively related."

Finds that "all of the performance attribution variables (beta, price-to-book, market capitalisation, the previous year's return) have negligible correlations with the CSP variables except for market capitalisation...all else being equal, large firms are likely to achieve higher CSR scores than small firms, although the association is not very strong."

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=938725