Hamilton, Jo, and Statman (1993)

Hamilton, S., H. Jo, and M. Statman. "Doing Well While Doing Good? The Investment Performance of Socially Responsible Mutual Funds." Financial Analysts Journal, November/December 1993.

Finds no statistically significant difference in the risk-adjusted returns of a group of SRI mutual funds as compared to unscreened funds. See also Statman [2000], which provides a similar, but more up-to-date analysis.

LK comment:  Strong paper.  I believe this was the first  analysis of responsible mutual fund returns with appropriate risk adjustments in a peer-reviewed journal.

Link (published version):  https://www.cfapubs.org/doi/abs/10.2469/faj.v49.n6.62