Abstract
We examine the share price reaction of 1,281 firms with Russian operations when they announce their decision to leave or stay in the Russian market following the outbreak of the armed conflict between Russia and Ukraine on February 24, 2022. We observe positive stock returns to leave decisions (+0.67% during the three days surrounding the announcement), but do not find any significant reaction for stay decisions. We provide evidence that leave decisions are announced earlier if the initial share price reaction to the outbreak of the armed conflict was more pronounced, indicating that investors may appreciate a clear commitment to exit the Russian market. The results do not indicate that firm decisions (leave or stay) are based on previous stock returns, but we find that firms with larger negative returns at the beginning of the conflict obtain more positive returns around the firms' decision announcements. Finally, we show that firms that change their initial decision are more likely to opt to leave the Russian market than to stay.