Firm systematic risk after the Russia–Ukraine invasion

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.