Data for "A case study of international transmission of political risk: China's anti-corruption campaign and the risk premium on stocks of global luxury goods firms

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Data for replication of the results in the paper "A case study of the international transmission of political risk: China’s anti-corruption campaign and the risk premium on stocks of global luxury goods firms". The paper shows that the unexpected launch of the recent Chinese anti-corruption drive affected luxury goods firms with strong links to China. These firms' risk-adjusted stock returns dropped into negative territory and stayed there, thus suggesting that the anti-corruption campaign has been interpreted as adverse cashflow news. This finding neither pertains to luxury goods firms with little links to China nor to firms from other industrial sectors with similar exposure to China.

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