Whether the additional costs and risks derived from investing in ESG and corporate social responsibility will have a positive or negative impact on corporate operations is an issue worthy of further study. Past works have discussed the impact of ESG and corporate social responsibility (CSR) on corporate operations, but mostly from the perspective of operating performance. The empirical results are also inconsistent, and even in the same study, there are ambiguities. Different from previous literature, this study attempts to explore this topic from the perspectives of cost and risk. Therefore, this paper constructs empirical data of Taiwan's financial industry from 2007 to 2022 to explore the impact of ESG and CSR on capital costs and business risks. In this paper, the panel data model is used to carry out an empirical estimation of the full sample and sub-sample and further verify the differences between the influencing factors. The results show that in terms of business risk, when ESG performance is good, it can alleviate the financial distress of banks and enhance the stability of business operations. It further verifies the practical application of ESG disclosure, which can effectively reduce the debt and capital cost of the banking industry.