Currently, the Brazilian tax burden is high and therefore represents a significant cost for organizations. Given this, it is important for companies to have good tax planning, legally minimizing their tax burden whenever possible. The objective of this study was to analyze the relationship between efficient tax planning—represented by the "proxy" of the Efficient Tax Planning Index (EPI)—and the abnormal return of the share prices of companies listed on the B3 stock exchange, from 2008 to 2018. The sample consisted of 1,638 observations, and a panel data regression with fixed effects estimators was implemented as a statistical tool, with the intention of identifying the variables that explained the abnormal return of shares in the market. The results of the study indicated that the EPI did not have a significant relationship with abnormal returns. However, profitability, financial liquidity, dividends, capital structure, and indebtedness proved significant in the model. It was concluded that the IPTE (Index of Equity and Transparency) did not have a significant correlation with abnormal market returns, although it was related to total assets and indebtedness.
