ESG performance and sustainability concerns exposure

• Stocks with higher ESG performance are less sensitive to sustainability concerns. • Strong governance is the most essential in mitigating sustainability concerns exposure. • There is no significantly substantial connection between Environmental/Social performance and exposure to sustainability concerns. • ESG performance moderates the impact of public sustainability concerns on firms' market valuation. This paper analyzes stock returns' sensitivity to the newly introduced sustainability concerns index based on media indicators from LSEG MarketPsych for the US market from 2010 to 2023. While the results demonstrate that better ESG performance mitigates equities' sensitivity to sustainability concerns in society, the effects are mainly driven by firms' governance rather than environmental or social performance. This study underscores the vital role of good governance and management among ESG criteria for firms in promoting the stability of stock returns to changes in public concerns regarding sustainability issues.