Exchange rate and interest rate risk have been documented as the most managed financial risks by most UK non-financial firms and industries. This is probably because of the severe adverse effects that contrary movements in these financial risks can have on the value of the firm or industry....

In this investigation over 144,000 simulations are undertaken of country equity risk premia, based on a scenario analysis of the uncertainty surrounding the period of non-sustainable growth in earnings and stock returns. Final estimates, from the larger data-sets in Japan, the US and the UK, are...

This paper models the value of callable foreign bonds, using stochastic calculus, by assuming that the exchange rate follows a geometric Brownian motion process and the arrival time of an early redemption of the bond by the issuer conforms to a negative exponential distribution. The solution to...

Multinational companies undertake their capital budgeting decisions within a harsh environment of volatile exchange rates and political risks as well as other factors. This paper develops a capital budgeting framework, by applying a geometric Brownian motion process to model the exchange rate...

Although many studies have been undertaken on the cost of capital, insufficient attention has been paid to the factors that drive the cost of capital in the emerging markets, in particular the Middle East region. Here, an analysis is undertaken of the cost of capital in Egypt, based on a sample...

We examine the sensitivity of 31 UK non-financial industries to exchange and interest rate exposure from 1990 to 2006 using first-order autoregressive exponential GARCH-in-mean (EGARCH-M) model. We find that the stock returns of UK industries are more affected by long-term interest rate risk...

Shipping is an industry that is highly geared towards international trade and therefore, would seem to be highly susceptible to fluctuations in macroeconomic factors. This article investigates the impact of exchange rates, interest rates and oil prices on stock returns of 143 shipping companies...

The purpose of this paper is to develop a valuation model for projects, explicitly taking into account the combined effects of taxation and the risk of obsolescence. In the modelling process it is assumed that a project's pre-tax net operating cash flows follow a geometric Brownian motion with a...