PPurpose – The purpose of this paper is to illustrate the effectiveness of integrating a portfolio simulation-based trading program with the top-down approach to fundamental analysis in a security analysis course. The simulation allows for the application of class material using a combination...

We investigate the likelihood of extreme foreign exchange-rate exposure (FXE), conditioning upon key firm factors and an expanded view of hedging. Our investigation incorporates the Fama and French (1993) three-factor (FF three-factor) model terms in reconciling equity returns vis-à-vis...

Purpose: The authors examine the relation between noise trading in equity markets and stochastic volatility by estimating a two-factor jump diffusion model. Their analysis shows that contemporaneous price deviations in the derivatives market are statistically significant in explaining movements...