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Firm systematic risk after the Russia–Ukraine invasion

Author

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  • Piserà, Stefano
  • Chiaramonte, Laura
  • Paltrinieri, Andrea
  • Pichler, Flavio

Abstract

We explore the systematic risk effects of the Russia–Ukraine war on European non-financial firms during the period 2021Q1–2022Q4. Using quarterly firm-level data, we find that, after the Russia–Ukraine conflict, European non-financial firms experienced a statistically significant increase of systematic risk (Beta). Moreover, we also find that firms with higher foreign sales reduced their exposure to such unprecedented geopolitical event, showing a statistically significant lower Beta in the aftermath of the announcement of the Russian invasion of Ukraine. Results are robust also using alternative measures of firm risk as well as after running alternative econometric approaches.

Suggested Citation

  • Piserà, Stefano & Chiaramonte, Laura & Paltrinieri, Andrea & Pichler, Flavio, 2024. "Firm systematic risk after the Russia–Ukraine invasion," Finance Research Letters, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324005191
    DOI: 10.1016/j.frl.2024.105489
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    More about this item

    Keywords

    Russia–Ukraine invasion; Systematic risk; Geopolitical risk; Foreign sales; EU STOXX 600;
    All these keywords.

    JEL classification:

    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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