RT Journal Article SR Electronic T1 A Cautionary Note on the Pricing of Ethics JF The Journal of Investing FD Institutional Investor Journals SP 53 OP 57 DO 10.3905/joi.2005.580549 VO 14 IS 3 A1 Tom E.S. Farmen A1 Nico van der Wijst YR 2005 UL https://pm-research.com/content/14/3/53.abstract 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.