The term socially responsible investing (SRI) is now commonly used by both institutional and private investors around the world. Socially responsible investment means investing capital not only for the purpose of generating a return on invested capital, but also for achieving positive social and environmental impact. Against the background of an increase in the number of man-made environmental disasters, the trend of socially responsible investment began to threaten the economic efficiency of innovatively active industrial enterprises, the type of activity of which is traditionally accompanied by increased natural and environmental risks. The adherents of the SRI concept choose companies with good ESG ratings regardless of their financial statements, which has the opposite effect for “dirty” industries and causes a drop in their market value. The article analyzes the impact of SRI on the cost of innovatively active industrial enterprises in the mining and oil and gas sectors of Russia. Based on a comparative analysis of indicators of “green” and comparable classical instruments of the stock market in Russia and abroad, it was revealed that the securities of enterprises with high ESG ratings have increased investment attractiveness among socially responsible investors, the number of which is constantly growing. Based on the results of the analysis, the authors revealed that for innovatively active industrial enterprises, taking into account SRI trends is most relevant, since it creates challenges simultaneously with new development prospects. The article defines the concept of a “green” premium or discount in relation to the cost of capital of innovatively active industrial enterprises, and provides a methodology for assessing the “green” premium. The authors substantiate that, due to the increased interest of socially responsible investors, the size of the “green” premium may exceed the costs on the “greenness” of companies, thereby creating a positive added “green” value. A model of the cost of an innovative-active industrial enterprise is formulated, taking into account the “green” award. It is substantiated that the value of companies with high ESG criteria is growing at an outstripping pace, despite the growth in costs for meeting these criteria.