Template-type: ReDIF-Paper 1.0
Author-Name: Dr. Thomas Nitschka
Author-Name-First: Thomas
Author-Name-Last: Nitschka
Author-Person: pni214
Title: Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?
Abstract: Media reports suggest that the recent Chinese anti-corruption campaign adversely influenced business prospects of globally operating luxury goods firms. This paper empirically tests this hypothesis. This paper finds that risk-adjusted returns on stock portfolios consisting of luxury goods firms with high exposure to China shifted persistently downward around the launch of the anti-corruption campaign. Risk-adjusted returns tend to co-vary with the intensity of the campaign. The evidence suggests that the Chinese anti-corruption campaign constituted negative cash-flow news about the affected global luxury goods firms. These findings neither pertain to luxury goods firms with low exposure to China nor to firms from other industries.
Length: 58 pages
Creation-Date: 2018
Contact-Email: forschung@snb.ch
File-URL: https://www.snb.ch/en/publications/research/working-papers/2018/working_paper_2018_09
File-Format: text/html
Number: 2018-09
Classification-JEL: F68, G15, G18
Keywords: Asset pricing, financial markets, political risk
Handle: RePEc:snb:snbwpa:2018-09