Using a generalized cross-spectral approach, we propose a model-free omnibus statistical procedure to check whether the direction of changes in an economic variable is predictable using the history of its past changes. A class of separate inference procedures are also given to gauge possible...

This paper studies the corporate policy distortions caused by realization-based capital gains taxation at the personal level in a dynamic trade-off theory model. The Lock-in effect of embedded capital gains creates severe conflicts of interest between incumbent and new investors. The firm's...

This paper investigates foreign investors’ behaviors in the Thai stock market during the late 1990s. The statistical data demonstrates the difference in trading behaviors of foreigners relative to other groups of investors. During the crisis, local investors were discouraged and their market...