Announcements of Sanctions and the Russian Equity Market: An Event Study Approach

The research question raised in this paper is an investigation of the effect of the announcement of US and EU sanctions on the stock returns of the targeted companies listed on the Moscow Exchange. The strategy for identification is based on firm-specific and multivariate short-term event studies. Firm-specific event study of eight sanctions that targeted 14 entities at different times results in a statistically significant ‒5.4% estimate of the expected cumulative abnormal return within a window of seven trading days.