An important assumption underlying traditional theories of financial time-series behaviour is that consecutive changes in the price of an asset (ie. asset returns) are independent of each other. For analysts seeking to predict the future value of an asset, this implies that the best step-ahead...

This paper examines the literature to date on the benefits of diversifying property assets internationally. Currently, there is no consensus on how much benefit can be derived from diversifying property portfolios globally. This is contrary to other financial assets where there seems to be...

Since the deregulation of foreign currency markets in 1973, the volatility of foreign exchange rates has increased substantially. Owing to this increased volatility in exchange rates it has become increasingly important to hedge foreign currency exposure. This paper provides a self-financing...

In this paper earnings, dividends and stock prices are modelled within a plausible economic framework. The first stage in the analysis involves characterisation of the dynamic behaviour of earnings, for which evidence was found for mean reverting behaviour in the long term, and weaker evidence...