To leave, or not to leave?

: the effects of the Russian corporate exodus on investor's returns

Abstract

This dissertation explores the effects of the Russian-Ukrainian War on stock returns, with the goal of determining if leaving the Russian market destroyed shareholder value for a diverse range of companies. This exercise demonstrates that companies that suspended operations in Russia following the war, although losing turnover, obtained statistically indifferent stock market returns for their investors in the short and medium terms. To reach this conclusion, the method employed was a Fama-French 3 Factor model with daily observations ranging from the start of the month of the invasion 01/02/2022 to 31/01/2023. These results imply that, despite leaving companies abandoning a sizable market and abdicating from its potential revenue, the move did not destroy value for their shareholders. This fact clearly demonstrates the perception of value by the market in the adoption of social and moral anti-war principles. The dissertation differentiates itself as being, to our knowledge, the first exploration of this conflict over a medium term from a governance perspective, and reveals interesting results to managers, investors and policymakers alike.

Date of Award	14 Jul 2023
Original language	English
Awarding Institution	Universidade Católica Portuguesa
Supervisor	Ricardo Cunha (Supervisor)