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

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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.

Publication type

Article in Scientific Journal


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.


Economic Growth and Business Cycles in Liechtenstein - Econometric Investigations Considering the Past, Present, and Future
PhD-Thesis (kooperativ), October 2008 until December 2010 (finished)

[1] Several economic data series of Liechtenstein are backwardly estimated in order to achieve consistent historic time series. The generated series consist for instance of the national income ... more ...


Organizational Units

  • Affiliate institute: KOFL Liechtenstein Economic Institute