This paper investigates the price effects associated with changes in the composition of the first sustainability index in Central and Eastern Europe – the RESPECT Index – over its lifetime, i.e. 2009–2019, using an event study technique and the advanced market model for the calculation of abnormal returns. The results show a strong negative reaction by the stock prices of companies that are either included in or excluded from a sustainability index. The effect is short-lived but statistically significant in some asymmetric event windows. The study contributes to the discussion of how the emerging capital markets perceive the value of socially responsible activities undertaken by firms. The research indicates that events such as addition to and removal from a sustainability index (as well as announcements thereof) create a trading opportunity. Additionally, it suggests that investors at the Warsaw Stock Exchange – at least in the short run – tend to sell stocks of companies formally recognised as socially responsible.