"Using a sample of 1000 firms from the U.S., Europe, and Asia, between 2005 and 2014, we find evidence for the taste effect [for SRI] and estimate the associated under performance at 4.8% annually. Our results are robust against different model specifications and test assets."
[COMMENTARY] This study reminds me of one or two others that also show that screening for SRI/CSR delivers poor relative stock performance. My concern with these few studies is how they define SRI/CSR. Studies looking at ESG — as distinct from SRI/CSR — almost universally indicate positive or outperformance in regards to stock or portfolio performance. It’ll be good for the academics to have a public debate on these studies!
The Price of Taste for Socially Responsible Investment, by Rocco Ciciretti University of Rome II, Ambrogio Dalo University of Rome, and Lammertjan Dam University of Groningen, CEIS Working Paper No. 413, July 2017, Italy.