Amid the swift global progression of sustainable finance, ESG has risen to prominence as a pivotal factor in capital market investment and pricing. Asset management institutions overseas are expediting their ESG investment strategies, and major indices like the S&P 500 now mandate ESG disclosure as a standard practice. However, current research predominantly centers on ESG's influence on individual companies, such as its effects on valuation, financing costs, and operational performance. In contrast, studies examining its broader market impacts are relatively scarce. In this context, the question of whether ESG information can forecast overall stock market risk premiums has become a pressing concern that urgently requires an answer for both the academic community and industry practitioners. The study reveals that the aggregate ESG index demonstrates a substantial positive predictive capacity for market excess returns, and this predictive prowess intensifies as the forecasting horizon extends to three years. The predictive power of the three sub-indices is comparatively weaker than that of the aggregate index, highlighting the benefits of cross-dimensional information integration. Mechanism tests indicate that the ESG index positively anticipates future corporate fundamentals and inflation, while negatively forecasting the VIX volatility index, variance risk premium, and realized volatility. It also exhibits a significant correlation with both cash flow shocks and discount rate shocks, with the latter contributing more significantly to economic outcomes. Investor demand changes do not swiftly react to ESG signals, and the predictive power is more evident during periods of low ESG attention, suggesting the existence of a behavioral mispricing mechanism. This study is pioneering in confirming, from an aggregate standpoint, that ESG risks exhibit systemic characteristics. It broadens the academic understanding of ESG's market impacts and provides empirical evidence supporting ESG as a crucial macroeconomic variable. The findings underscore that ESG is not merely relevant to individual companies but also carries significant implications for the overall operation of financial markets and government regulation. This helps steer both academia and industry towards focusing on the aggregate effects of ESG information.