TY - JOUR T1 - A Cautionary Note on the Pricing of Ethics JF - The Journal of Investing SP - 53 LP - 57 DO - 10.3905/joi.2005.580549 VL - 14 IS - 3 AU - Tom E.S. Farmen AU - Nico van der Wijst Y1 - 2005/08/31 UR - https://pm-research.com/content/14/3/53.abstract N2 - Ethical or socially responsible investing (SRI) has become a popular feature of modern portfolio management. This cautionary note evaluates SRI under different assumptions regarding market efficiency and ethical preferences. SRI appears to be difficult to combine with active investment strategies, as an informationally inefficient market may give rise to ethical illusions. The most consistent way to implement SRI seems to be to hold a market portfolio based on an ethical subset of the investment universe. ER -