Luck and Pilotte (1993)

Luck, Christopher, and Nancy Pilotte. "Domini Social Index Performance." Journal of Investing, Fall 1993.

Reviews DSI returns for April 1990 - September 1992 using the BARRA fundamental factor model, finding a stock-specific return of 17 basis points per month. In 1994 the authors repeated their analysis for the April 1990-December 1993 time period and found a stock-specific return of 9 basis points per month.

This was the first multi factor assessment of the returns of the Domini Social Index (now know as the MSCI KLD 400).

Link: https://joi.pm-research.com/content/2/3/60