Abstract
Western companies that announced a decision to exit the Russian market following the start of the war in Ukraine in February 2022 have experienced a downward trend in cumulative abnormal returns (CARs).•The stronger the corporate action taken against Russian war in the Ukraine, the larger are the cumulative abnormal returns (CARs).•Controlling for the choice of firms and even windows, Western investors do not appear to reward strong firm-level ESG actions. This study investigates how the stock returns of firms that took corporate action against Russia following the onset of Ukraine-Russian war were impacted. We use traditional event-study methodologies to analyze the data. The findings indicate that the firms that opted to act against Russia in the wake of the onset of Ukraine-Russian war experienced a downward trend in cumulative abnormal returns (CARs) on average. Furthermore, we find that the stronger the action taken against Russia the more negative the average CARs. These findings are contrary to the idea that investors reward strong firm-level ESG actions and are robust to the choice of firms and event windows.