Referenz
Brunhart, A. (2014). Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment. Swiss Journal of Economics and Statistics, 150(3), 161-190.
Publikationsart
Beitrag in wissenschaftlicher Fachzeitschrift
Abstract
Additionally to the financial crisis causing a world recession, Liechtenstein's financial sector has been challenged by the so-called "Zumwinkel-Affair", when a whistle-blower sold data of hundreds of tax evaders to international tax authorities. This paper investigates the impact of this affair on the daily stock prices of banks from Liechtenstein. An unconventional augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models, is introduced and dynamically analyses various influences on risk and returns. Also, an event study framework is applied. The main finding beyond further conclusions is that the Zumwinkel-Affair had an (accumulating) effect on risk, but surprisingly no impact on average stock return could be detected.
Forschung
- Economic Growth and Business Cycles in Liechtenstein - Econometric Investigations Considering the Past, Present, and Future
- Dissertation (kooperativ), Oktober 2008 bis Dezember 2010 (abgeschlossen)
[1] Verschiedene ökonomische Datenreihen für Liechtenstein werden zeitlich zurück geschätzt, um konsistente wirtschaftshistorische Zeitreihen zu erhalten. Die generierten Reihen bestehen unter ... mehr
Mitarbeiter
Einrichtungen
- An-Institut Konjunkturforschungsstelle Liechtenstein (KOFL)