This paper analyzes a sample of Australian company stocks that are added to or deleted from the Dow Jones Sustainability World Index in terms of stock return, risks and liquidity. We find evidence that index addition (index deletion) stocks experience significant temporary increase (decrease) in stock return. Liquidity of index addition stocks improves but that of index deletion stocks worsens. Systematic risk shows little change. Index addition stocks experience no change in idiosyncratic risk while index deletion stocks display drastic changes. The overall results suggest that Australian investors value sustainability in a way that is not explained by existing theories relating to index additions and deletions.