Abstract: Sustainability has received considerable critical attention in the Egyptian Stock Exchange (EGX). In an economy, whether a sector or corporation, the Environmental, Social, and Governance (ESG) aspects have a greater role in enhancing or detracting shareholder value. Along with this growth in sustainability, however, there is increasing concern over explaining the association between Corporate Sustainable Performance (CSP) and Stock Return (SR). The stakeholder theory has been vigorously challenged in recent years by many researchers. Critics question the theory's ability to explain (a) market investors' short-term reactions to announcements of ESG Index inclusion, (b) whether market investors' reactions differ depending on industry sectors, and (c) whether firms with higher sustainability rankings in terms of weighted ESG index score perform better than low-ranked firms. The method used in this study is an event study analysis based on examining the effect of a company's announcement that it has been added to the S&P/EGX ESG Index on its SR during the event period of 31 days, along with the use of parametric t-tests. The results showed that, for the sample of the 90 ESG index inclusion announcements, investors react significantly both to the raw and within-industry sectors in terms of short-term SR analysis. Moreover, the investor reaction is significantly affected by ESG index scores since the market rewards firms with high CSP. The results are supported by the stakeholder theory, which argues that investors in better-ranked firms heavily invest in CSP, anticipate larger future cash flows due to more favorable responses from key stakeholders, and thus reward these firms with increases in stock price.