A series of empirical analyses in the USA reviewed in this chapter provide insight into whether there is a systematic relationship between environmental and financial performance and whether it is strong enough to inform both regulatory and corporate environmental strategy. The findings seem to imply that capital markets react long-term to environmental performance. However, a closer look at the research indicates that US capital markets pay attention to environmental news, but that it is a short-term reaction and will not necessarily affect long-term returns or company-level sustainability. Econometric concerns and model misspecification consistently undermine the quality of findings.