they can investigate my company all they want, investigating me is a bit different since it generates no PR and is just intrusive, but sure.
i'm fairly confident 99% of business owners(the 1% will probably be red neck gun-shop owners) would agree that if you have nothing to hide that you should welcome an investigation.
this isn't being 16 and quoting your Miranda rights when you get pulled over on the side of the road because you were going 5 over.
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