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Employing monthly data from twenty stock markets, this paper tests for the international applicability of a U-Shape autocorrelation pattern of stock market returns. It is demonstrated that the U-Shape autocorrelation pattern in stock returns is typical of many stock markets, an observation that may be exploited in an attempt to generate a trading strategy which yields an abnormal return. The paper constructs several trading strategies which differ from one another along three dimensions: the sources of information, the weights set for an international portfolio and hedging strategies of foreign exchange risk exposure. The results clearly indicate that above normal returns can be obtained from past autocorrelation patterns in different markets.

The decision whether or not to utilize the "long-form" and itemize deductions depends on income and non-income factors. The distribution of these factors among the various States tends to be stable over long periods of time. It follows that the federal individual income tax (FIIT) may be associated with a systematic deviation from location—neutrality. This is argued to be especially germane in periods associated with major reforms in the tax codes.It is suggested that this phenomenon is explicable in terms of a human capital model. The decision in any given year to itemize is a function of past accumulation of specific and specialized human capital. The effect of a tax reform is a large scale destruction of such capital. Therefore, certain predictions concerning the time path of the "propensity to itemize deductions" (PID) follow. Empirical support for this model is found from cross-section data at the State level, from years both preceding and following the 1986 Tax Reform and Simplification Act (TRA).

This paper examines the relationship between real stock returns and matched-maturity long-term bond yields for 16 countries. We find a strong positive correlation between real stock returns and corresponding matched-maturity long-term bond returns for every country in the sample. Our findings also indicate that the volatility of long term real stock returns is closely related to the volatility of long term real bond yields. Finally, an additional cross-sectional analysis indicates that the sensitivity of real stock returns to real bond yields in each country is negatively related to the average rate of inflation and the coefficient of variation of these inflation rates.