This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after … return volatility is more pronounced where firms are characterized by greater variability in tax outcomes. We adopt a broad … dispersion during periods of high TPU, indicating the effects of tax policy uncertainty extend to sophisticated market …

low portfolio sorted by (Marginal Tax Rate) has an annual return of +12.7% during Republican presidential terms and -6 …

We document evidence that mutual funds, on average, are averse to investing in tax-avoiding firms, which seems … ownership in tax-avoiding firms, a result inconsistent with both fund managers' incentive and diversification motives …. Furthermore, mutual funds' aversion to tax-avoiding firms persists regardless of the mutual funds' investment horizons …

We investigate the joint hypothesis that a) tax expense contains information about core profitability that is …-differenced quarterly tax expense, our proxy for tax expense surprise, is related positively to future returns. This anomaly is separate … from previously documented pricing anomalies based on financial and tax variables. Additional investigation reveals that …