Fiordelisi et al (2020)

Fiordelisi, Franco, Giuseppe Galloppo, Gabriele Lattanzio, and and Viktoriia Paimanova. “An ESG Ratings Free Assessment of Socially Responsible Investment Strategies.” Working paper (University of Essex), December 2020.

From the authors' abstract: “[W]e focus on global sample of ESG-oriented Exchange Traded Funds (ETFs). Studying passive and pre-committed strategies provides us with several economic and econometric advantages, allowing us to document that Socially Responsible Investments (SRI)-oriented strategies generate significantly higher average stock market returns and liquidity. However, the identified overperformance is concentrated in months of extreme climate activity, while the effect reverses during financial crisis. These findings confirm that investors react to non- pecuniary shocks by increasing the weights assigned to SRI investments in their portfolio, but their preference shifts back towards traditional strategies during economic downturns.”

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3743802