With sustainable development becoming a globally recognized development trend and China's "double carbon" goal put forward, enterprises'ESGresponsibility has been highly valued by investors, regulatory authorities and all walks of life. Based on this, Using China's A-share listed companies from 2011 to 2020 as research samples, the relationship betweenESGresponsibility performance and stock returns was investigaqted, and the regulatory role of institutional environment in it was considered. The results show that the listed companies can significantly improve the stock returns by actively fulfillingESGresponsibilities, and the research conclusion is still valid after considering endogenous problems. The internal mechanism shows that the listed companies'ESGresponsibility performance mainly improves the stock returns by attracting investors' attention, enhancing analysts' attention and relaxing corporate financing constraints, and the institutional environment plays a moderating role between the listed companies'ESGresponsibility performance and stock returns. Further heterogeneity analysis shows that the listed companies'ESGresponsibility performance will have different effects on stock returns due to the different property rights and regions. In addition, compared with environmental responsibility (E) and social responsibility (S), governance responsibility (G) has a more significant impact on stock returns. The research conclusion provides empirical evidence for the economic consequences of listed companies'ESGresponsibility, and has enlightenment significance for enterprises, investors to pay attention toESGresponsibility performance and the government to improveESGrelated policies.

ESG responsibilities  /  stock returns  /  investor's attention  /  analyst coverage  /  financial constraints  /  institutional environment