I study how sustainable investing impacts cross-sectional equity prices and valuation with institutional investors’ heterogeneous demand and tastes internationally. To obtain a sustainability measure for companies around the world and to capture the ESG tilt in portfolios of institutional investors, I construct a reveal-preference sustainability measure for each firm instead of using a third-party ESG score. With Factset international institutional holding data from 2010 to 2021, I apply an equilibrium asset pricing framework to empirically estimate heterogeneous preference, allowing for investment portfolio choices within and across countries. I find that separately estimated investor demands are sensitive to the sustainability of firms. The demand of investors on average increases by 26% following a one standard deviation increase in the perceived greenness, but there exists huge investor heterogeneity across countries; for example, investors from mainland China would decrease their demand by 21%. With the estimated coefficients, I conduct counterfactual analyses that consider the implications when the ESG coefficient increases following realized climate risk and when a subset of ESG investors switch to holding a market-weighted portfolio to understand the significance of different groups of institutional investors.