To echo what most of the others have said, as long as businesses are profitable and legal, people will invest in their stock. Theoretically, if a large amount of people avoid buying these stocks for ethical concerns, it will counterintuitively increase their returns (due to their stock prices decreasing as they become unpopular cigar butts).
I'd focus instead on living your life sustainably, and if you really want to make a difference, get involved with an organization (or even politics, if that's your thing).
ETA: On the other hand, business owners do generally (though not always) have a vested interest in a higher stock price, so if this movement became really huge you might generate the response you are trying to achieve (a shift to sustainable business practices).