EconPapers    
Economics at your fingertips  
 

Did China's anti-corruption campaign affect the risk premium on stocks of global luxury goods firms?

Thomas Nitschka

No 2018-09, Working Papers from Swiss National Bank

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.

Keywords: Asset pricing; financial markets; political risk (search for similar items in EconPapers)
JEL-codes: F68 G15 G18 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cna, nep-fmk and nep-tra
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
https://www.snb.ch/n/mmr/reference/working_paper_2 ... _paper_2018_09.n.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:snb:snbwpa:2018-09

Access Statistics for this paper

More papers in Working Papers from Swiss National Bank Contact information at EDIRC.
Bibliographic data for series maintained by Enzo Rossi ().

 
Page updated 2019-03-31
Handle: RePEc:snb:snbwpa:2018-09