Hoepner, Rezec, and Siegel (2011)

Hoepner, Andreas G. F., Michael Rezec, and K.S. Siegel.  “Does Pension Funds' Fiduciary Duty Prohibit the Integration of Environmental Responsibility Criteria in Investment Processes?: A Realistic Prudent Investment Test.”  Working paper (University of Reading - ICMA Centre), September 19, 2011.

From the authors' abstract:  "We analyse over 1,500 firms from 26 developed countries over a 77 months period using aggregated and disaggregated corporate environmental responsibility ratings supplied by EIRIS. Our results are twofold. First, we find zero indications that the integration of aggregated or disaggregated corporate environmental responsibility ratings into pension fund investment processes has any detrimental financial effect. Second, findings from our risk analysis even support integrating corporate environmental criteria into pension fund investment processes, as the downside volatility is substantially lower. "

Link:  https://papers.ssrn.com/sol3/papers.cfm?abstract_id=1930189