  Listing on the Dow Jones Sustainability Index is seen as a gold-standard,
verifying to the market that a firm is fully engaged with a corporate social
responsibility agenda. Robustly quantifying the impact of listing, and
de-listing, against any industry level shocks, as well as evolution in the
competitive relationship between firms within the industry, provides a strength
absent in existing works. It is shown that cumulative abnormal returns on
stocks added to the index are significantly positive in the three trading weeks
prior to the official announcement. The post-listing correction result posited
to date is also demonstrated to hold; the proportion of periods with
significant negative returns is low, however. Announcement, rather than
effective dates are critical to returns. Differentials between these stages in
the chronology is an important contribution of this paper. Most effects end
before the membership changes become effective. Whilst there are considerable
gains to be made, they come pre-announcement date and require foresight to
exploit. Investors must research likely new members to gain maximum return.
