This paper investigates whether ESG (environmental, social and governance) practices impact stock prices. We collected data of the stocks that compose the S&P500 from June 2014 to June 2021. First, we tested the hypothesis that there is a negative relation between stock returns and the ESG rating. We built an ESG factor, following the Fama and French (1993) procedure, with the Sustainalytics ESG score. The results of the two-stage cross section regressions indicate the existence of an ESG risk premium: we estimated that the portfolio of companies with the worst ESG ratings has a return between 0.20% and 0.29% higher than the portfolio of companies with the best ratings when controlled for other risk factors. Following, we tested the hypothesis that the variation in ESG scores has a significant impact on stock returns. For that, we created an ESG Momentum factor using the same procedure described in Fama and French (1993) and the two-stage cross sectional regression estimated a return premium between 0.23% and 0.35% - that is, the excess return of a portfolio that is long on the shares with the highest ESG score upgrade, and short on the shares with the highest downgrades. The rating upgrades had a more expressive impact on the returns than the rating downgrades. This is evidence that the improvement in the quality of ESG practices causes an appreciation in the stock prices. However, both results lose significance when we utilize the generalized method of moments (GMM) for estimation.