Industry Tax Planning and Stock Returns
研究发现，企业所在行业的税收筹划倾向越高，其股票收益也越高，这种风险溢价会施加给行业内所有公司，即使那些税收筹划不那么激进的公司也不例外。
ABSTRACT We find evidence that equity returns increase with the propensity for tax planning in a firm's industry. This risk premium is imposed on all firms in the industry, even those that are less aggressive than their peers. The industry-based risk premium coexists with a firm-specific discount associated with active tax planning strategies that carry low systematic risk. The discount on tax planning at the firm level, however, is dwarfed by the premium on tax planning at the industry level, and is concentrated in industries that are less likely to attract scrutiny from the tax authority.