Overuse of resources, increasing shortages of food, climate change, environmental pollution as well as numerous high-profile corporate governance scandals are examples that unsustainable economic activities constitute a threat to the well-being of humanity. As a consequence, the way we?re doing business and the way we invest will change fundamentally in order to find a sustainable solution. The financial market crisis has shown that it is no longer enough to simply consider the three dimensions risk, return and liquidity. New aspects have to find their way into the classical investment world. A concept, which was integrated into the capital markets during the last years is the concept of socially responsible or sustainable and responsible investments (SRI). In the meantime, all around the globe the number and diversity of market participants offering a wide range of products and services are steadily growing. Alongside with this growth and interest, SRI is evolving and is getting more and more complex. Therefore, much more research is needed to become more convincing and viable in the future. This paper further investigates the impact of environmental, social and governance (ESG) issues on stock prices, while answering the question ?Are environmental, social and governance factors relevant for asset pricing??.