Sustainable Development, Economic Policy Uncertainty and Tax Risk

ESG performance data are from the Bloomberg database, whereas tax risk composition data and other financial data were obtained from the China Stock Market and Accounting Research database. The EPU data were obtained from the China Economic Policy Uncertainty Index compiled by Huang and Luk (2020) based on 114 mainland newspapers in China. The initial data were processed as follows: (1) samples from the financial industry were removed due to the particularity of financial statement calculations in the financial industry; (2) listed companies of Special Treatment during the sample period were removed to reduce the impact of abnormal values; (3) samples with missing data were removed; and (4) the continuous variables were winsorized at the 1% and 99% levels to eliminate the influence of outliers. Ultimately, we obtained 13,472 firm-year observations.