I examine the causal effect of Environment, Social, and Governance (ESG) information on the cost of capital of U.S. stocks using a quasi-natural experiment. Exploiting the discontinuity in the mapping mechanism of a ESG score to a ESG rating, I conduct Regression Discontinuity Design tests around each ESG score threshold, comparing the ex-ante cost of capital of stocks with similar ESG scores but distinct ESG ratings. I find that a negative change in the ESG rating has a positive impact on the cost of capital of stocks on the highest-rating ESG stocks. The effect reversed for the lowest-rating ESG stocks. The finding is broadly coherent with the argument in the existing literature that high ESG stocks have lower expected returns, and further suggests a hump-shape relationship between ESG information and stock ex-ante cost of capital.