Should ESG-motivated investors screen out non-responsible firms from their portfolio, or should they rather invest in them and engage with the management? This paper evaluates the effectiveness of these exit and voice strategies and uncovers the conditions under which each strategy is most impactful. Using a novel classification framework based on US mutual funds’ portfolio holdings and votes on shareholder proposals, I show that voice funds are generally more effective than exit funds at pushing firms towards more socially responsible behavior. The exit strategy relies on the threat of lower stock prices and is effective only in firms with high CEO wealth-performance sensitivity. Voice funds threaten directors’ reelection and are more effective when elections are approaching. Taken together, my results point to the financial and career concerns of the top management as driving pro-social change when shareholders demand it.