The study investigated the impact of bad news in corporate social responsibility reporting on investors' decision making. We also examine and compare the degree of price reaction to the three social responsibility factors (environment, society and governance) used in this study. In addition, this paper designs two different estimated periods of 150 days and 300 days. This is to explore whether different parameter estimation periods will generate different empirical results. It concludes that the price premium will fall down significantly when negative ESG news is announced. The bad news of governance factor has the most impact on stock returns. The governance event is more easily leaking out in advance. Furthermore, different parameter estimation period will not yield different effect.