Sustainability has become a subject increasingly more important to corporation strategic decisions, but a clear methodology has not been created to measure investment returns in this area. Despite of this, many actions evidence companies’ concerns about publishing results that represent not only financial aspects but also social and environmental aspects, such as social reports, sustainability reports and communication. In financial markets, investors also show a tendency to look for sustainable companies, resulting in mutual funds being created based on sustainability and financial indicators. In Brasil, the São Paulo Stock Market created a Corporate Sustainability Index - the Índice de Sustentabilidade Empresarial (ISE - Bovespa), which is formed by sustainable companies. This dissertation`s objective is to study the results of the companies that are included in this index, comparing with other companies that are not included. The study will try to establish if companies that are considered sustainable present better results than companies that are not and if the market reaction due to the creation of a sustainability index was enough to improve sustainability companies’ results.