39
Views
1
CrossRef citations to date
0
Altmetric
Original Articles

Price earnings ratios on the Johannesburg Stock Exchange - Are they a guide to value?

&
Pages 1-23 | Received 01 Jun 1998, Accepted 01 Jun 1999, Published online: 03 Jun 2015

References

  • Campbell, John Y., Lo Andrew W. and A. Craig MacKinlay (1997), The Econometrics of Financial Markets, Princeton University Press, Princeton, New Jersey.
  • Campbell, J. and R. Shiller (1987). Cointegration and Tests of Present Value Models, Journal of Political Economy, 95:1062–1087.
  • Campbell, J. and R. Shiller (1988). Stock prices, Earnings and Expected Dividends, Journal of Finance, 43:661–676.
  • Dickey, D. and W. Fuller (1981). Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root, Econometrica, 49:1057–1072.
  • Engle, R.F. and C.W.J. Granger (1987). Cointegration and Error Correction: Representations, Estimation and Testing, Econometrica, 55(2):251–276.
  • Engle, R. and B.S. Yoo (1987), Forecasting and Testing in Co-integrated Systems, Journal of Econometrics, 35:143–159.
  • Granger, C.W.J. (1980). Forecasting in Business and Economics, New York: Academic Press
  • Granger, C.W.J., and P.A. Newbold (1974). Spurious Regressions in Econometrics, Journal of Econometrics, 2:111–120.
  • Harris, R.LD. (1995). Using Cointegration Analysis in Econometric Modelling, Prentice Hall, Harvester Wheatsheaf.
  • Hendry, D.F. (1996). Dynamic Econometrics, Advanced Texts in Econometrics, Oxford University Press Inc., New York.
  • Jenkins, G.M. (1978). Practical Experiences with Modelling and Forecasting Time Series, Lancaster, England; Gwilym Jenkins & Partners Ltd.
  • MacKinnon, J.G. (1990). ‘Critical Values for Cointegration Tests’ mimeo, University of California at San Diego.
  • Muscatelli, V.A. and A.S. Hum (1992). Cointegration and Dynamic Time Series Models, Journ al of Economic Surveys, 6:1–43.
  • Nelson, C.R. and C.I. Plosser (1982). Trends and Random Walks in Macroeconomic Time Series: Some Evidence and implications, Journal of Monetary Economics, 10:139–162.
  • Said, S. and D. Dickey (1984). Testing for Unit Roots in Autoregressive Moving Average Models of Unknown Order, Biometrika, 71:599–607.
  • Shiller, R. (1981). Do Stock Prices Move Too Much to Be Justified by Subsequent Changes in Dividends?, American Economic Review, 71:421–436.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.