Reputational risk is negatively perceived by stakeholders and economic agents and can cause negative future effects on sustainability, corporate image and stakeholder engagement. This study analyzes and selects the bad news with a sample of listed Spanish companies and uses it to explain abnormal returns and liquidity risk to better understand how decisions should be taken in the future in a more innovative and sustainable way. The results indicate that there are negative reputational effects on excess returns and trading volume variations and positive effects on volatility. Additionally, it implies an increase in illiquidity. The inclusion of bad reputational news in the model improves its goodness of fit between 1.25% and 3%.