PT  - JOURNAL ARTICLE
AU  - Tom E.S. Farmen
AU  - Nico van der Wijst
TI  - A Cautionary Note on the Pricing of Ethics
AID  - 10.3905/joi.2005.580549
DP  - 2005 Aug 31
TA  - The Journal of Investing
PG  - 53--57
VI  - 14
IP  - 3
4099  - https://pm-research.com/content/14/3/53.short
4100  - https://pm-research.com/content/14/3/53.full
AB  - 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.