Purpose: The purpose of this paper is to determine the impact of corporate investments in corporate social responsibility (CSR), measured by the environmental, social and government (ESG) rating, on the market valuation of a firm's stocks and to explain the regional differences in the degree of this influence. Design/methodology/approach: The empirical study uses linear and non-linear panel regression models for a panel sample of 951 firms listed in Asia, North America and Europe operating in innovative industries. Findings: The CSR score was found to be significant in terms of stock excess return on the regional level. However, this finding cannot be extrapolated to the global scale. ESG rating is priced by the European and North American markets negatively, while in the Asian market, it is positive. This penalty (negative influence) is greater than the reward for one point increase in ...