No study to reference, but my own experience in the desert southwest is that tight fitting anything (sun sleeves included) is cooler for cycling Definitely best to be bright white. Without sun sleeves, my experience is sweat simply runs down my arms. This provides little to no cooling when it just drips off. With the sleeves, the sweat gets spread out and evaporates. The evaporation is what causes the cooling. Having the evaporation happen from your skin or a fabric tight to your skin seems to work best. Having evaporation at the surface of loose clothing isn't going to do too much. Though if the clothing is a very loose weave, then potentially the air passing through would get cooled. Essentially like an evaporative (swamp) cooler. But only if this air reaches your skin.

While I can't say it works worse than bare skin, when I'm grinding uphill with a tailwind and have a nearly zero relative airspeed, the sleeves do seem warm. I think because at that point, they are just a layer of insulation and without any breeze, there's not nearly as much evaporation.

I get how loose clothing is a bit like wearing your own sun shade. And I think there's no question that for day-to-day living in the desert it works best. Else, why would desert nomads and similar have worn that for centuries. This is why when I do yard work I wear a hat with a huge brim, and very loose fitting sun shirt. Almost no bare skin.

I do not think loose clothing provides the best cooling when cycling and obviously loose clothing has drawbacks for cycling.

Many thousands of cyclists have settled on tight fitting clothing, thousands of desert peoples use lose fitting clothing. Horses for courses.