It is commonly accepted that market participants use ESG (Environment, social and governance) scores as an indicator of a company’s sustainability performance in terms of finances and reputations. Pharmaceutical industry is highly social related and increasingly exposed to climate change risks. In this study, 251 pharmaceutical companies and three leading enterprises are chosen to make out how ESG scores affect pharmaceutical industry?s stock returns and other financial performance. Using data from Wind and Bloomberg, we do an empirical analysis combined with theoretical analysis. We establish a linear regression model, to make regression of stock returns of the overall industry and ESG scores. The E, S and G scores are also analyzed respectively. Through the regression results, we find that better ESG performance doesn?t increase stock returns, which might due to a lagged effect of ESG performance on financial indicators. Also, higher systematic risks would decrease stock returns. As for specific companies, there are difference between their result and the overall industry. Higher ESG scores do effect stock returns of big companies, for instance, AbbVie and Pfizer, of which the stock returns are positively correlated to ESG scores, while Merck?s fact is negative but better suit for the model.