Asian Review of Financial Research Vol.30 No.1 pp.33-45
Tax Expense Momentum : Anomaly or Risk?
Key Words : Tax Expense Momentum,Tax Expense Surprise,Risk,Anomaly
Abstract
The literature on tax-expense momentum is unclear as to whether its effect is due to anomaly or risk. We apply the approach developed by Ohlson and Bilinski (2015) to assess whether the positive relationship between tax expense momentum (surprise) and future stock returns is explained by anomaly or risk. We find that tax expense momentum increases the probability of a high return and decreases that of a low return. This supports an anomaly-based explanation for the tax expense momentum.
