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...

This study utilizes foreign currency futures contracts to evaluate the tax timing options created by the 1981 Economic impact on contracts with less than six months to maturity and that the marginal trader in those contracts is a long-position holder. Similarly, the results suggest that the...