Humphrey and Lee (2011)

Humphrey, Jacquelyn E., and Darren D. Lee.  “Australian socially responsible funds – performance, risk and screening intensity.”  Journal of Business Ethics, April 2011.

From the authors' abstract:  "We investigate the performance of Socially Responsible Investment (SRI) equity funds in the Australian market. In line with prior research, we find no significant difference between the returns of SRI and conventional funds. We also investigate the relation between screening intensity and fund performance and risk. Results show screening intensity does not impact a fund’s total return, but we find some weak evidence that funds with more screens provide better risk-adjusted performance (alpha)."

Link:  http://link.springer.com/article/10.1007%2Fs10551-011-0836-7