This paper studies the effect of Corporate Social Responsibility on firm’s capital allocation efficiency in Australia and New Zealand. More specifically, I examine whether CSR influences a firm’s investment efficiency. I use ESG ratings to measure CSR. The empirical results show that the overall ESG performance, the environmental dimension performance, and the social dimension performance are not significantly associated with a firm’s investment efficiency. Only CSR policies or initiatives which are essentially costly to a firm are negatively associated with a firm’s investment efficiency. These findings are robust to a battery of robustness checks. The results suggest that when CSR initiatives reduce a firm's capital and other critical resources, those resources are not deployed for identifying and funding growth options, resulting in investment less likely to maximize shareholders’ wealth.