This study aims to analyze the relationship between tax aggressiveness and the risks associated with the variation of returns in Brazilian companies’ stock. Particularly, the research regards the systematic and idiosyncratic risks. The sample was formed by companies that composed the IBOVESPA index in the period between 2011 to 2016. The measurements of tax aggressiveness were the effective tax rate and the temporary book-tax differences. The results showed a significant relationship between tax aggressiveness and risk, concluding that the higher the tax aggressiveness, the lower the beta, and the higher the idiosyncratic risk. This study is essential because it maps the effect of tax aggressiveness on the financial risks related to Brazilian companies’ shares, as well as being useful to investors, portfolio, and business managers.
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