The impact of ESG risk on US stocks is examined through the lens of Sustainalytics’ ESG risk-rating measure from September 2009–November 2020. Green stocks with lower ESG risk ratings outperform brown stocks with higher ESG risk ratings significantly. More important, green stocks provide better tail-risk protection than brown stocks.. Recent evidence shows that green funds and ETFs that hold green stocks have attracted significantly more fund flows than their counterparts, which is associated with the outperformance of both green funds (including ETFs) and green stocks, as fund flow can drive persistent fund performance and stock price momentum.