There has been significant debate in the sustainability literature on the impact of sustainability practices on a firm’s market value. Little consensus exists, however, on which specific practices impact a firm’s market value and the direction of their impact. In this paper, using independent assessment data on 42 mainland Chinese and Hong Kong firms listed on the Hong Kong Hang Seng Stock Exchange, we empirically evaluate the impact of six sustainability practices of these firms, derived from some of the popular sustainability indices, on their adjusted stock market value over a three year time period. Our analysis of the data through linear mixed modeling method found two out of the six practices, namely, community investment, and to a lesser extent, workplace quality, as the only significant predictors of firm’s market value. Furthermore, their impact on firm value displayed an inverted U-shaped temporal relationship in that it took a few years for their impact to gain significance and it faded away in the latter years. Our findings suggest that “soft” social and relational practices may be more important than the “hard” technical and instrumental factors. Furthermore, since none of these sustainability practices were negatively related to firm value, we conclude that there is no empirical evidence to support that sustainability practices erode firm value. Overall, our findings provide clearer guidance to firms on the type of sustainability practices to focus on, and advance our knowledge about the specific sustainability practices that positively contribute to firm value.