This paper develops a macroeconomic model of the response of interest rates to inflation expectations, with particular attention to the role of tax non-neutralities. Virtually all the well-known results in the theoretical literature hold as special cases of this model. Some suggestive empirical...

This article presents tests of the random walk hypothesis for the U.S. and world commercial real estate markets along with the world stock market through utilizing appropriate market indices. The augmented Dickey-Fuller and Phillips-Perron unit root tests and Cochrane variance ratio test find...

This paper examines the investment characteristics and performance measures of American Depository Receipts (ADRs) for the 1983-1992 time frame. In contrast to previous studies, a more complete sample of ADRs and a fuller set of performance metrics is examined. ADRs are found to have lower P/E...