Tax policy uncertainty and stock return volatility
研究发现税收政策不确定性高时股票收益波动性更大，且这种影响对系统性波动更显著，同时与资本成本、买卖价差等正相关，表明税收政策不确定性会给投资者带来实际成本。
We find that stock return volatility is higher during periods of high tax policy uncertainty (TPU), even after controlling for other sources of general macroeconomic uncertainty. Tax policy uncertainty contributes to both systematic and idiosyncratic volatility, but more strongly to the systematic component. Moreover, the effect of TPU on idiosyncratic volatility varies predictably according to firm-level attributes, specifically capital structure and tax complexity. Finally, we find that tax policy uncertainty is positively (negatively) associated with cost of equity capital, bid-ask spread, and illiquidity (autocorrelation of stock returns). Overall, our results suggest that uncertainty surrounding tax policy can impose real costs on investors in the forms of higher risk premia, information asymmetry, and cost of equity capital.