In the past decade, interest in firms committed to environmental, social, and governance (ESG) sustainability has surged. This study analyzes the comparative influence of ESG sustainability performance and economic sustainability performance (ESP) on investment efficiency. Using a sample of 49,924 firm-year observations from 2010 to 2017, we categorize firms into those in shareholder-oriented and stakeholder-oriented countries. Findings indicate that social and environmental dimensions of sustainability contribute more significantly to improving investment efficiency than the economic dimension. The study highlights the differing roles of shareholder primacy in the U.S. and stakeholder primacy in the E.U. in shaping ESG investment strategies, offering insights for policy, practice, and future research.