One of the world's largest advertising companies, WPP, said on Tuesday it was investigating CEO Sir Martin Sorrell after "an allegation of personal misconduct."

WPP's board appointed an independent counsel to investigate Sorrell, the company told CNBC. The ongoing investigation doesn't appear to be material to the business, the company's statement said.

The Wall Street Journal earlier reported the existence of a probe. No specific details about the nature of the allegations were reported by the Journal or shared by WPP.

There has been a magnifying glass on executive conduct in many industries, after whistleblowers have reported unprofessional behavior. The advertising industry has also faced additional pressures as companies like Facebook and Google vacuum up advertising dollars in exchange for swaths of personal data.

But despite recent pressures on the ad business, Sorrell, who has appeared on CNBC, is considered a captain of industry and savvy dealmaker. He was knighted in 2000 after growing WPP from a small company, Wire and Plastics Products, to a dominant ad company with over 200,000 employees.