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You might gain from refusing. You might be promoted instead. It happened to me once. I refused to take part in a humiliating team building exercise which involved everybody coming to work dressed entirely in flourescent green (the company colour). The only other person who refused was the MD, and he concluded I was the only person who wasn't too enslaved to conformity and authority to think for myself. OK, so I was only promoted to 'team leader' but it worked for me.
50-50 chance whether it works; it either works or it doesn't.