How is ESG advantage priced into stock market? Using ESG rating as a measure of ESG performance, we select A-share listed companies in Shanghai and Shenzhen from 2010 to 2021 as a research sample and investigate whether ESG anomaly exists in China's stock market. Furthermore, the mechanisms resulting in ESG anomaly and the influencing factors are explored. The results indicate that firms with lower ESG rating have significant excess returns relative to firms with higher ESG rating, i.e., ESG rating reduces the cross-sectional returns of firms. It is further concluded that this effect is more pronounced mainly in small-cap firms, and the excess returns arise from the mispricing of investors' under-reaction to ESG information, which does not follow the risk compensation hypothesis. The results enrich the behavioral asset pricing theory and complement the economic consequences of CSR commitment from the perspective of cross-sectional asset returns.