140
Views
2
CrossRef citations to date
0
Altmetric
Original Articles

A test of the present value model of stock prices under rational and adaptive expectations using Bursa Malaysia data from 1983 to 2003

, , &
Pages 1835-1839 | Published online: 31 Mar 2010

References

  • Cagan , P. 1992 . “ The monetary dynamics of hyperinflation ” . In Recent Developments in Macroeconomics , Edited by: Phelps , E. D. Vol. 1 , Edward Elgar, Hants .
  • Chow , G. C. 1958 . The formation of stock prices . Econometrica , 26 : 604 – 5 .
  • Chow , G. C. 1983 . Econometrics , New York : McGraw-Hill .
  • Chow , G. C. Rational versus adaptive expectation in present value models. Princeton University, Econometric Research Program . Research Memorandum No. 328 . 1988 .
  • Chow , G. C. and Kwan , Y. K. 1997 . Rational expectation is not generally valid for econometric models: evidence from stock market data . Pacific Economic Review , 2 : 149 – 63 .
  • Chow , G. C. , Fan , Z. Z. and Hu , J. Y. 1999 . Shanghai stock prices as determined by the present value model . Journal of Comparative Economics , 27 : 553 – 61 .
  • Foroni , I. , Ganini , L. and Rosser , J. B. Jr . 2003 . Adaptive and statistical expectations in a renewable resource market . Mathematics and Computers in Simulation , 63 : 541 – 67 .
  • Frankel , D. M. 2005 . Adaptive expectations and stock market crashes Department of Economics, University of Iowa, Working Paper No. 05009
  • Metin , K. and Muslu , I . 1999 . Money demand, the Cagan model, testing rational expectations versus adaptive expectations: the case of Turkey . Empirical Economics , 24 : 415 – 26 .
  • Powell , A. A. and Murphy , C. W. 1995 . Inside A Modern Macroeconometric Model: A Guide to the Murphy Model , Berlin : Springer-Verlag .
  • Shiller , R. J. Do stock prices move too much to be justified by subsequent changes in dividends? . National Bureau of Economic Research, Working Paper No. 1134 . 1981 .
  • Vogelvang , B. 2005 . Econometrics: Theory and Applications with Eviews , Harlow : Pearson .
  • West , K. D. 1988 . Dividend innovations and stock price volatility . Econometrica , 56 : 37 – 61 .

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.