Guerard (1997)

Guerard, John B. "Is There a Cost to Being Socially Responsible in Investing?" Journal of Investing, Summer 1997.

Reviews the results of an expected return model incorporating value and growth components for the 1987-1994 time period. Finds no statistically significant difference in performance of the model for a screened versus an unscreened universe. Comments that "these [social] criteria do not "cost" the investor any meaningful average return during the 1987-1994 period and may have produced positive active (relative to the S&P 500) returns during some subperiods."
 

LK comment:  An earlier draft won the first Moskowitz Prize in 1996.

Link (published version):  http://joi.iijournals.com/content/6/2/11