The effect on price, liquidity and risk when stocks are added to and deleted from a sustainability index: Evidence from the Asia Pacific context

► We examine the effects of stock inclusion and deletion from a sustainability index. ► We test whether investors' prefer sustainability and whether sustainability inhibits portfolio optimization. ► We examine Asia Pacific markets using event study method over 2002-2010. ► Returns decrease but risk and volume increase for included/deleted stocks. ► The findings imply sustainability matters but in a negative way.