This paper investigates the relationship between firm value and the quality of Australian listed corporations’ sustainability reporting. We examine whether firms that make higher-quality sustainability disclosures exhibit systematically higher equity prices, through either (or both) cost of capital or expected future performance effects. Using proprietary data obtained from a specialist responsible investment research firm, we document a significant negative association between quality sustainability reporting and the cost of equity capital for ASX 200 firms from 2003–2005, and a significant positive association between expected future performance and the quality of sustainability reporting. We also test for industry-specific associations and find that our main results are driven heavily by the reporting behaviour of, and market response to, firms in environmentally sensitive industries.