The announcement of Corporate Social Responsibility (CSR) ratings offers a good opportunity to assess the impact of CSR on financial markets. Using an event study methodology, we analyze the influence of Vigeo CSR rating announcements from 2004 to 2009 on short term European stock returns. The results show a positive significant effect of the announcement on the stock returns over two days prior and two days following. Thus, CSR provides an additional information (in respect to financial one) taken into account by markets, modifying investors beliefs and firms ’ valuation. We investigate the relation between the content of the announcement and the Abnormal Return (AR). The overall impact is positive. A limited number of CSR components explain the reaction that depends of the sign of the score (strength vs concern). Moreover, some components have a positive influence (Human rights), others have a negative (Environment, Human resources) or a mixed one (Community involvement). Our study shows that CSR really matters for financial markets and that the reaction is driven by disaggregated measures for corporate governance and varies according to the aggregation level for others topics.

Financial Services organization of Accenture with focus on Strategy and Business Architecture and Alternative Sourcing Strategies, he is also member of the E-Finance Lab.