Shareholder wealth effects of corporate sustainability reporting regulations

• This paper studies the impact of CSRD and ESRS events on the stock market performance of EU companies. • To do so, we mobilise the financial data of 19,443 companies located in OECD countries over the period from 1 January 2020 to 16 February 2024. • Our results show that the implementation of CSRD and ESRS leads to an underperformance of companies located in affected (EU) countries compared to non-affected countries. In this article, we investigate the impact of the European Union (EU)’s corporate sustainability reporting regulations (i.e., CSRD and ESRS) adoption events on EU firms' stock market performance. To do this, we mobilize financial data from 19,443 firms located in OECD countries over the period from January 01, 2020, to February 16, 2024, consisting of more than 18 million daily observations. Using a Difference-in-Differences framework, we observe that the implementation of the new legislation (CSRD and ESRS) leads to an underperformance of firms located in affected countries (EU) compared to non-affected ones.