摘要 : Abstract Sustainability is a vivid and important issue for financial markets. The financial markets discuss the sustainability’ s advantages. This study intends to reveal the nexus of sustainability risk and market returns. It is ... 展开 Abstract Sustainability is a vivid and important issue for financial markets. The financial markets discuss the sustainability’ s advantages. This study intends to reveal the nexus of sustainability risk and market returns. It is the first study that attempts to understand the sustainability’ effects on market returns. The five sub-indexes of Global Sustainable Competitiveness were used for sustainability performances. The sub-indexes are governance performance, intellectual capital, natural capital, social capital, and resource intensity. Also inflation rate and gross domestic product growth rate added the model as control variables. The dataset was from 2013 to 2020 for all G20 countries except Argentina. The results showed the all macroeconomic and sustainability factors but governance performance are important for stock market returns. Governance performance does not impact the market returns. The macroeconomic factors are more effective than sustainability factors for the returns. 收起