Stock Market's Reactions to the Revelation of Tax Evasion: An Empirical Assessment

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Referenz

Brunhart, A. (2012). Stock Market's Reactions to the Revelation of Tax Evasion: An Empirical Assessment (KOFL Working Papers, No. 9 [updated]). Konjunkturforschungsstelle Liechtenstein.

Publikationsart

Arbeitspapier

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, separated from the financial crisis, on the daily stock prices of banks from Liechtenstein. An "unconventional" augmented GARCH-model (labelled as "augmented amalGARCH"), which outperforms conventional models here, is introduced and analyses the dynamical pattern and other influences on risk and average performance. Besides other findings, it can be concluded that the Zumwinkel-Affair had an (accumulating) effect on risk of stocks, but surprisingly no impact on average stock returns 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)

DOI

http://dx.doi.org/http://www.kofl.li/dok/publikationen/KOFL%20Working%20Papers/KOFL%20Working%20Paper%20No.%209_neu.pdf