This study develops and validates an ex-ante measure of firm-specific overall tax risk. We define tax risk as the potential that current actions or activities, or the failure to take actions or pursue activities, will lead to future tax outcomes that are different from expectations. Tax risk...

This study finds that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after controlling for other sources of general macroeconomic uncertainty. Further, we find that the relation between TPU and stock return volatility is more pronounced where firms...

In this study we examine whether higher levels of tax risk are associated with increased firm risk, as perceived by capital market participants. Given the difficulties of measuring tax risk, we utilize four different proxies that prior research indicates capture greater tax-related uncertainty,...

What is the policy uncertainty surrounding expiring taxes? How uncertain are the approvals of routine extensions of temporary tax policies? To answer these questions, I use event studies to measure cumulative abnormal returns (CARs) for firms that claimed the U.S. research and development (R&D)...

This paper investigates the impact of 19 announcements pertaining to the introduction of value-added tax (VAT) in the United Arab Emirates (UAE) on equities listed on the Abu Dhabi Stock Exchange (ADX). Using a well-established event study methodology over the period 2015 to 2018, a sector-wise...

We analyze a sample of 330 firms making unaudited disclosures required by Section 302 and 383 firms making audited disclosures required by Section 404 of the Sarbanes - Oxley Act. We find that Section 302 disclosures are associated with negative announcement abnormal returns of -1.8 percent, and...

We examine whether monetary policy uncertainty influences the reaction of the equity, Treasury security, foreign exchange and crude oil markets, as well as medium-term interest rates, to U.S macroeconomic announcements. Using intraday futures data, we show that in the presence of higher policy...

We study the impact of economic policy uncertainty on the term structure of nominal interest rates. We develop a general equilibrium model, in which both the government and the central bank policy decisions are driven by uncertainty shocks. Our affine yield curve model captures both the shape of...

We examine the effect of political uncertainty on corporate transparency and market quality using gubernatorial elections as a source of plausibly exogenous variation in uncertainty. Despite real activity falling in the years leading up to a close election, voluntary disclosure, measured by the...

Using electronic-markets data, this paper investigates partial determinants of change in Graham's price-earnings ratios (P/E) during US presidential election cycles. We document evidence over six elections, that as the probable winner of the election becomes clearer, markets surprisingly respond...