What can we learn from the financial market about sustainability?

This study examines to what extent investors take into their consideration's sustainability risks of three different nature, Environmental, Social, and Corporate Governance (ESG). We use ESG risks rating and eight three nasdaq100 stocks excess return to evaluate whether those risk influence excess returns from 2016 till the end of April 2021. We find that while environmental risks negatively affects excess returns in some years, social risks are the most influential factor negatively related to excess returns for investors. Corporate Governance risks have been found to be embedded in the traditional Systematic risk factor "Beta" but we did not find any evidence for negative correlations between that kind of risk and stock's excess returns. We also find that since 2018 investors value environmental risks and punish companies that their activities harm the environment in any way. Examining three green energy exchange trade funds returns in recent years have showed that solar energy companies have achieved the highest returns to investors, followed by low-carbon and wind energy producers. Those result can insinuate about the future of green energy production methods. © 2021, The Author(s), under exclusive licence to Springer Science+Business Media, LLC, part of Springer Nature.