This thesis investigates the relationship between ESG (Environmental, Social, and Governance) scores and market returns among large-cap firms in Stockholm between 2020 and 2024. The purpose of this study is to contribute to the existing body of knowledge and provide insights for investors seeking to maximize returns through ESG. Guided by the Efficient Market Hypothesis (EMH), the Adaptive Market Hypothesis (AMH), and the Risk–Return Tradeoff, the study uses both cross-sectional and panel data, applying multiple regression analysis to test whether ESG performance correlates with excess returns, varies across industries, or influences market sensitivity (beta). The results show no statistically significant relationship between ESG scores and market returns, nor any evidence that ESG performance reduces a firm’s systematic risk. These findings suggest that, in their current form, ESG factors may not provide added value for return-maximizing investors. The study also highlights challenges related to data availability and suggests that future research should investigate this relationship over longer time periods, across broader markets, and with consideration of investor behavior to gain deeper insight into the financial implications of ESG.