Managerial Finance


Accounting and Finance

Table Of Contents: Volume 20 Issue 2

The Development, Accomplishments and Limitations of the Theory of Stock Market Efficiency


The nature and extent of our knowledge of stock market efficiency are examined. The development of “efficiency”, as a way of thinking about stock markets, is traced from…

Long‐memory and Nonlinearity: A Time Series Analysis of Stock Returns and Volatilities

Nuno Crato, Pedro J.F. de Lima

This paper is focused on two particular issues related to the stochastic structure of stock prices: linear long‐memory and nonlinearity.

Forecasting Stock Returns in the Japanese, UK and US Markets During the Crash of October 1987

Paul D. Koch, Timothy W. Koch

The observation that different national stock markets are interrelated to different degrees is well established in the literature on global market integration. This…

Price Discovery in Asset Markets

Jerome L. Stein

Holbrook Working (1949) discovered that the percentage change in futures prices seemed to be largelyrandom. This led Paul Samuelson (1965) to develop the Efficient Market…

Predicting the Volatility of Stock Prices Using ARCH Models, with UK Examples

Stephen J. Taylor

ARCH models can be used to predict volatility and to enhance option pricing methodologies. A guide to these models is provided and illustrative results are presented for…



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  • Professor Don Johnson