We examine the impact that the economic sanctions imposed by the Western community on the Russian economy in March 2014 have had on the pricing of Global Depositary Receipts (GDRs) traded in London. We document that following the first announcement of the imposition of sanctions, the returns of Russian GDRs increased in the case of both the Moscow Exchange and London listings, indicating an enhanced risk of trading with Russian securities. This effect was more pronounced in the case of London listings compared to local listings, which resulted in an overall decrease in the returns spread between the GDR and underlying home market shares. In contrast, we do not find evidence that imposition of sanctions affected turnover by volume of home or London-based GDR trades around the sanctions announcement, suggesting that investors did not pull out of Russian GDRs, but instead, reassessed investment risks associated with Russian securities. Last, our findings provide no evidence of a moderating impact on pricing of Russian GDRs by the two mechanisms that are expected to be indicative of enhanced (decreased) risks for GDRs, namely, state ownership (presence of foreign nationals on boards of directors). Our study contributes to the debate on the importance of complex assessment of outcomes of international sanctions on individual economies and firms.

中文翻译：

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投资者对经济制裁的反应：以俄罗斯全球存托凭证为例

我们研究了2014年3月西方社会对俄罗斯经济实施的经济制裁对伦敦交易的全球存托凭证（GDR）定价的影响。我们记录到，在首次宣布实施制裁之后，在莫斯科交易所和伦敦上市的情况下，俄罗斯GDR的回报都增加了，这表明与俄罗斯证券交易的风险有所增加。与在伦敦上市相比，在伦敦上市的情况下，这种影响更为明显，这导致了GDR与相关国内市场份额之间的回报率总体下降。相比之下，我们没有证据表明制裁实施前后，制裁的实施影响了房屋或伦敦GDR交易量的营业额，这表明投资者没有退出俄罗斯GDR，而是重新评估了与俄罗斯证券相关的投资风险。最后，我们的研究结果没有提供证据表明这两种机制对俄罗斯GDR的定价有适度的影响，这两种机制有望表明GDR的风险增加（减少），即国家所有权（外国国民在董事会中的存在）。我们的研究为关于对单个经济体和公司的国际制裁结果进行复杂评估的重要性的辩论做出了贡献。国家所有权（外国人在董事会中的存在）。我们的研究为关于对单个经济体和企业的国际制裁结果进行复杂评估的重要性的辩论做出了贡献。国家所有权（外国人在董事会中的存在）。我们的研究为关于对单个经济体和公司的国际制裁结果进行复杂评估的重要性的辩论做出了贡献。