If people voted for a government that is butt buddies with the large corporations that exploit society through lobbying and regulatory capture, then the values of that society are already represented, and everyone compromised into unethical corporations having their way.
What is not feasible is me, as an individual investor, voluntarily handicapping my ability to profit off something completely legal, out of some misguided notion that by divesting a few thousand dollars of some unethical company shares I would be saving a society that is far beyond salvation.
I am not the main character in the world at large, I am not a savior. I am just getting by life trying to do what I can that my wife and child are happy. That's really all there is.