This study is aimed to investigate whether environmental performance is valuable for investor. Hypothetically, lower environmental performance associated with higher litigation and sustainability risk,  therefore, investors would ask return premium for low environmental performance, and vice versa. This research look at two types of investors : debtholders and equity-holders, who concern on cost of debt and cost equity respectively. As for  environmental performance, this study rever to the results of Companies’ Performance Rating Assessment Program (Program Penilaian Peringkat Kinerja Perusahaan – PROPER) conducted by Indonesian Environmental Ministry. 52 PROPER member firms which are listed on Indonesia Stock Exchange during the periode of 2011 to 2015 are used as research sample. The empirical result shows that environmental performance is positively associated with cost of debt. This research finds no association between environmental performance and cost of equity. Hence, in general, environmental performance does not valued by investors of Indonesian listed companies.