Should I stay or should I go? Stock market reactions to companies' decisions in the wake of the Russia-Ukraine conflict

We examine the stock market reaction of 381 firms with Russia exposure after the start of Russian invasion of Ukraine on February 24, 2022. We observe significant negative average abnormal returns of -2.65% (-4.06%) during the first 20 (30) trading-days after the start of the conflict indicating that all firms with Russian operations were negatively affected. Focusing on firms' strategic decisions regarding their Russian operations, we find that companies deciding to leave Russia have considerably lower returns than those who continue their operations or that did not yet make a final decision. Moreover, we find that the negative market reaction is more pronounced for European manufacturers that announced to leave Russia and European service firms that decided to stay, indicating that the industry plays a considerable role in the stock market reaction