In this paper we develop a model in support of the argument that the imposition of a “social responsibility” constraint could lead to increased profitability of the firm. To empirically test this, we compare the characteristics of firms making up the DS 400 index with that of a control group of firms not included in the DS 400. We find that socially responsible firms are, at a minimum, not dominated by their peer firms on the basis of returns. They are also not dominated by their peers on the basis of their betas, but dominate them on the basis of their degree of unique risk. Our analysis also indicates that a socially responsible orientation does not come at a cost to the shareholders. To the contrary, it appears that these firms provide their investors with risk/return opportunities that are at least equal to, and at time superior to, those provided by their peers. We find strong evidence indicating that socially responsible firms employ significantly less leverage in their capital structure. Finally, we find that firms that are added to (deleted from) the DS 400 Index experience a positive (negative) abnormal returns on the occasion of such announcements.