Brunhart, Andreas (2014): Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment. Bern: Swiss Journal of Economics and Statistics. Volume 150 (2014), Issue III, S. 161-190.
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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.
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