This paper documents that corporate tax planning innovations, proxied by decreases in effective tax rates, contribute to excess shareholder returns and, thereby, a competitive advantage. Compared to other improvements in firm performance, tax planning innovations have smaller factor loadings and explain fewer variations in excess returns. Notably, sales growth explains more than seven times the variations in excess returns compared to tax planning innovations. Tax planning even falls behind interest expense reductions, given the challenge of altering firm capital structure. To address the concern that changes in firm performance drive the association between tax planning innovations and excess returns, I explore the market reactions to the legislation events of the Tax Cuts and Jobs Act (TCJA). Consistent with a lower statutory rate reducing the benefit of tax planning, firms with stronger tax planning competitive advantage before TCJA experienced more negative market reactions. Overall, my study provides strong evidence of the competitive advantages of tax planning, albeit the magnitude is limited.