In a special report in 2010, the Economist magazine called the resurging state-owned mega-enterprises worldwide, especially those from emerging economies, as “Leviathan Inc.”, and warned about the danger of such state capitalism model. While traditionally state-owned firms are criticized for weaker governance and less efficiency, they are also believed to be better positioned for dealing with market externalities. Our findings based on public firms from 45 countries suggest that state-owned companies engage more in environmental issues, and such engagement does not come as a cost for shareholders. This effect is more pronounced among firms in manufacturing industries, in emerging market economies (Latin America and Asia-Pacific), and in countries with lower energy independence and greater conflict with neighboring states. State-owned firms also reacted more significantly to the Copenhagen Accord signed in December 2009 in upgrading their environmental performance. Interestingly, state-owned firms also engage more in social issues but they do not have better corporate governance performance.