"We find that voting with one’s feet is done largely by institutions that have less than 1% ownership in the firm while institutions that hold block levels of ownership at the time of the CEO turnover announcement significantly increase their ownership levels leading up to the turnover event. Moreover, we find evidence of activism in the financial press that is significantly related to CEO turnover. We conclude that voting with one’s feet is not a major mechanism by which institutions force corporate change."
I sit on a few investment boards of of groups that are very concerned about socially responsible investing and this "vote with your feet" or be active has come up regularly. In all cases we have sold the shares (always less than 1% of the firm).