What makes firms vulnerable to the Russia–Ukraine crisis?

What is it about?

Using the cross-sectional examination of firm-characteristic, country-characteristic, and event-induced abnormal returns to examine the impact of the Russian-Ukraine war, we find that risk exposure and trade dependence trigger the invasion-generated negative abnormal returns. We demonstrate that stock prices are fragile to geopolitical risks and trade dependence. Consistent with previous literature, we find evidence of a size anomaly and high risk associated with a higher book-to-market ratio.

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