The Volkswagen diesel scandal of September 2015 demonstrated that financial metrics are insufficient to capture Corporate Socially Responsible risks. In this paper we conduct an event study of corporate news with violations of CSR principles as formulated in the UN Global Compact, using daily data and quoted companies between 2009 and 2015. We find that companies behaving irresponsibly face a significant stock price decrease on the announcement day. We analyze the impact of each principle and demonstrate that those components associated with stronger economic and legal consequences such as pollution, complicity, and bribery have a significant permanent impact while violations linked to freedom of association, human rights, child labour, forced labour, and discrimination do not reveal a pronounced persistent effect on stock prices. Another consequence is a large reputation cost.