Many of the biggest companies have wholeheartedly embraced the theory that more diversity means more profits. Investors may be less convinced—at least when it comes to adding women to boards.

An analysis of 14 years of market returns across about 1,889 companies finds that when organizations appointed female directors, they experienced two years of stock declines. The market value of a given company fell an average of 2.3 percent after it added one additional woman. The research was published in the Informs journal Organization Science.

Shareholders penalize these companies, despite the fact that increased gender diversity doesn't have a material effect on a company's return on assets, said Kaisa Snellman, an assistant professor of organizational behavior at INSEAD business school and a co-author of the study.