This study examines the stock market reaction to the unprecedented leaks of confidential advance tax rulings between Luxembourg and multinational corporations—also known as the “LuxLeaks.” Contrary to the negative market reaction to tax shelter news documented in prior research, we find that investors responded positively to these leaks. This reaction is concentrated among U.S. firms. Furthermore, we document a positive association between abnormal returns and the reduction in firms' tax uncertainty, consistent with a downward revision in investors' perception of the tax uncertainty associated with the firms' Luxembourg operations. We also investigate other firm characteristics and find that, among U.S. firms, investors' reaction is weaker for those over-invested in tax avoidance. Among non-U.S. firms, the market response is muted by concerns about the quality of governance. In summary, our results suggest that investors' reaction to tax shelter news is conditional on their reassessment of the firms' tax uncertainty.

本研究调查了股票市场对卢森堡与跨国公司之间的机密预先税务裁定前所未有的泄密事件（也称为“LuxLeaks”）的反应。与先前研究中记录的避税新闻的负面市场反应相反，我们发现投资者对这些泄密事件反应积极。这种反应集中在美国公司中。此外，我们记录了异常回报与企业税收不确定性降低之间的正相关关系，这与投资者对与企业在卢森堡业务相关的税收不确定性的看法下调一致。我们还调查了其他公司特征，发现在美国公司中，投资者对那些过度投资于避税的公司的反应较弱。在非美国公司中，由于对治理质量的担忧，市场反应平淡。总之，我们的结果表明，投资者对避税新闻的反应取决于他们对公司税收不确定性的重新评估。