This study analyzes the differences in financial performance and risk between sustainable firms and non-sustainable firms through the use of a fuzzy Jensen’s alpha and a fuzzy beta to measure abnormal returns and systematic risk, respectively. The sample consisted of 644 firms from OECD countries: Australia, Denmark, Spain, US, Finland, UK, Japan, Mexico, Norway, Sweden and Switzerland from 2008 to 2011. We compared two different methodologies to measure the Jensen’s alpha and the beta, namely, ordinary least squares and Fuzzy Regression. Considering the sample, our results demonstrate that there is no difference between sustainable firms and not sustainable firms in the possibility of obtaining abnormal returns and risk. However, we found evidence that sustainable firms have more possibilities of obtain abnormal return than non sustainable firms in the case of United States and Norway. On the other hand, the results suggest that sustainable firms have less risk than no sustainable firms in Spain and Australia. Finally, we mention the Corporate Social Responsibility (CSR) trends in the world capital market to emphasize the importance of the disclosure of nonfinancial issues as a part of the process of generating long-term sustainability profits and lower risk.