The only way you can make a meaningful difference on a large scale is through political action, that is, by persuading (or tricking) society into changing rules or typical behaviors. If you're extraordinarily wealthy, then perhaps putting your money where your mouth is actually matters, but for the vast majority of people your actions only make a difference for your immediate surroundings.
For example, if you believe that one ought to be nice to one's neighbor, then it matters if you are because there's only a limited number of people to fill that role in your local environment, thus your contributions can be significant. On the other hand, it matters very little how much energy you save regardless of your attitude toward conserving the environment because your energy usage is only a drop in the ocean. Unless, of course, you manage to become a role model and very many people follow your lead.
I'd wholeheartedly support laws that steer business activity toward a state of affairs that I'd consider more ethical, even if it cost me money because a law that applies to everyone can make an impact. However, I'm not willing to make futile sacrifices that'd only hurt me and be of no great benefit to anyone. How I invest my modest wealth is totally unimportant in the big scheme of things, so I invest it in the most profitable way I can, i.e. in the stock market.
Within reasonable limits I do make an effort not to be wasteful because it saves money, it makes me feel good and it's a fun challenge but I'm under no illusion that I'm actually saving the planet.