We consider the pricing implications of screens adopted by socially responsible investors. A model including such investors reconciles the empirically observed risk-adjusted sin-stock abnormal return with a systematic “boycott risk premium” which has a substantial financial impact that is, however, not limited to the targeted firms. The boycott effect cannot be displaced by litigation risk, a neglect effect, and liquidity considerations, or by industry momentum and concentration. The boycott risk factor is valuable in explaining cross-sectional differences in mean returns across industries and its premium varies directly with the relative wealth of socially responsible investors and with the business cycle.