Swiss Journal of Economics and Statistics/Schweizerische Zeitschrift für Volkswirtschaft und Statistik/Revue suisse d' économie et de statistique 3. [antikvár]

Stock Market's Reactions to Revelation of Tax Evasion: An Empirical Assessment Andreas Brunhart3 JEL-Classification: COI, C22, G01, G14, G21 Keywords: Tax Evasion, Liechtenstein, Zumwinkel, Stock Price Volatility, Augmented GARCH, Event Study 1. Introduction On February 14th 2008, German authorities arrested Klaus Zumwinkel, Chief Executive Officer and Chairman of Deutsche Post, in a very spectacular way at his home and in front of several TV-cameras: He was accused of tax evasion and subsequently resigned from office just a few days afterwards. Zumwinkel was convicted by the beginning of 2009. Along with about 600 other German tax evaders, Zumwinkel's tax fraud was unveiled by data provided by a whistle-blower named Heinrich Kieber, a Liechtenstein citizen, who is a former employee of LGT Bank. He sold the data to the German Intelligence Service (Bundesnachrichtendienst) for an estimated 5 Million Euros and also distributed the data to at least 13 other countries. Even though the identity of the whistle-blower was unveiled very soon, he could not be arrested yet and his domicile remains unknown despite the issue of an international arrest warrant in March 2008. This affair, named "Zumwinkel-Affair" or "Liechtenstein Tax-Affair" by the press, led to stronger pressure on countries that were often called "tax-havens", especially Liechtenstein but as an indirect consequence later also on Luxemburg, Switzerland, Monaco and even Austria. The dramatic arrest of Zumwinkel ensured that the topic dominated the media for weeks (not only in Germany and Liechtenstein), while harsh statements by several politicians and political pressure a Liechtenstein Institute. E-mail: [email protected]. The author would like to thank Robert Kunst (University of Vienna), Karl Schlag (University of Vienna), Martin Kocher (Ludwig-Maximilians-University Munich), Carsten-Henning Schlag (University of Liechtenstein), Kersten Kellermann (Konjunkturforschungsstelle Liechtenstein), Berno Büchel (University of Hamburg) and various participants of the "graduate and staff seminar" at the University of Vienna and also an anonymous referee for useful comments. © Swiss Society of Economics and Statistics 2014, Vol.150 (3) 161-190