This research examined the possible impact on the profitability of companies who entered or left the Carbon Efficient Index (ICO2). It sought to understand whether the participation of a company in this portfolio would benefit its shareholders with profitability gains and otherwise, if the output would fall in profitability. Until then, the only study for that purpose held for ICO2 was formed based on the first book and only checked the input movement. This work tried to analyze this index in a more dynamic optics and updated from changes in its composition over time. To accomplish this, there was an event study to identify the existence of abnormal returns in companies in and out of ICO2. The sample comprised twelve companies that made the entry or exit of movement throughout the period 2012 to 2015. The results provide a breakthrough in the understanding of sustainable investments in Brazil, as they have been detected cases of positive abnormal returns and significant at joining ICO2. Moreover, there was the case of negative abnormal return and significant to leave the ICO2. Hence arises the possibility of Brazilian investors to value more certain stocks of companies that adopt efficient carbon practices in their business model.