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Tax Expense Momentum : Anomaly or Risk?

  • Young Jun Kim College of Business Hankuk University of Foreign Studies
  • Hyoung-Goo Kang Department of Finance Hanyang University Business School
  • Sewon Kwon College of Business Administration Seoul National University
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.

  • Young Jun Kim
  • Hyoung-Goo Kang
  • Sewon Kwon
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.
Tax Expense Momentum, Tax Expense Surprise, Risk, Anomaly