The South African Journal of Business Management. The ...

8
returns, firm size and earnings on the Johannesburg Stock Exchange. The South African Journal of Business Management. 22, no.3: 63-73. Pari, R. and S. Chen. 1984. An empirical test of the arbitrage pricing theory. The Journal of Financial Research. 7, no.2: 121-130. Parkinson, J. 1982. The theory of capital asset pricing. Managerial Finance. 8, n o . 2: 1-5. Pennar, K. 1989. Does the market matter? Business Week. October 30: 16-18. Perry, P. 1983. More evidence on the nature of the distributions of security returns. Journal of Financial and Quantitative Analysis. 18. no.2:211-221. Reinganum, M. 1981(a). Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Bconomics. 9- 19-46. Reinganum, M. 1981(b>. The arbitrage pricing theory: Some empirical results. The Journal of Finance. 36, nc.2:313- 321. Reinganum, M. 1982. A direct test of Roll's conjecture on the firm size effect. The Journal of Finance. 37, no.l: 27-35. Reinganum, M. 1983. The anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Bconomics. 12: 89-104. Ritter, J. 1988. The buying and selling behaviour of individual investors at the tu~n of the year. The Journal of Finance. 43:701-717 . Rogalski, R. 1984. New findings regarding day-of-the week returns over trading and non-trading periods: A note. The Journal of Finance. 39, no.5: 1603-1614. Rogalski, R. and S. Tinic. 1986. The January size effect: Anomaly or risk mismeasurement? Financial Analysts Journal. November-December: 63-70. Roll, R. 1977. A critique of th-i asset pricing theory: some empirical results. Journal of Financial Bconomics. no.4: l.?9-176. Roll, R. 1978. Ambiguity when performance is measured by the securities market line. The Journal of Finance. 33, n o .4: 1051-1069. In: The Theory of Business Finance: A Book of Readings. Third Edition, eds. S. Archer and C D'Ambrosio. London: MacMillan Press. Roll, R. 1979. A reply to Mayers and Rice (1979). Journal of Financial Economics. 7:391-400. Roll, R. 1980. Performance evaluation and benchmark errors (I). The Journal ot Portfolio Management.. 6; 5-12. Roll, R. 1983. Vas ist das? Journal of Portfolio Management. Winter: 18-28. Roll, R. 1988. R‘. Tiie Journal of Finance. 42, no.4: 541-566. Roll, R. 1992. Volatil: y in US and Japanese stock markets: A symposium. Journal of Applied Corporate Finance. 5. no.1:25-33. Roll, R. and S. Ross 1980. An empirical investigation of the arbitrage pricing theory. The Journal of Finance. 35, n o . 5: 1073-1103. Reproduced in: The Theory of Business Finance: A Book of Readings. Third Edition. 222-243. eds. S. Archer

Transcript of The South African Journal of Business Management. The ...

Page 1: The South African Journal of Business Management. The ...

returns, firm size and earnings on the Johannesburg Stock Exchange. The South African Journal of Business Management.22, no.3: 63-73.

Pari, R. and S. Chen. 1984. An empirical test of the arbitrage pricing theory. The Journal of Financial Research. 7, no.2:121-130.

Parkinson, J. 1982. The theory of capital asset pricing.Managerial Finance. 8, no.2: 1-5.

Pennar, K. 1989. Does the market matter? Business Week.October 30: 16-18.

Perry, P. 1983. More evidence on the nature of the distributions of security returns. Journal of Financial and Quantitative Analysis. 18. no.2 :211-221.

Reinganum, M. 1981(a). Misspecification of capital asset pricing: Empirical anomalies based on earnings yields and market values. Journal of Financial Bconomics. 9- 19-46.

Reinganum, M. 1981(b>. The arbitrage pricing theory: Someempirical results. The Journal of Finance. 36, nc.2:313- 321.

Reinganum, M. 1982. A direct test of Roll's conjecture on the firm size effect. The Journal of Finance. 37, no.l: 27-35.

Reinganum, M. 1983. The anomalous stock market behaviour of small firms in January: Empirical tests for tax-loss selling effects. Journal of Financial Bconomics. 12: 89-104.

Ritter, J. 1988. The buying and selling behaviour of individual investors at the tu~n of the year. The Journal of Finance. 43:701-717 .

Rogalski, R. 1984. New findings regarding day-of-the week returns over trading and non-trading periods: A note. The Journal of Finance. 39, no.5: 1603-1614.

Rogalski, R. and S. Tinic. 1986. The January size effect: Anomaly or risk mismeasurement? Financial Analysts Journal. November-December: 63-70.

Roll, R. 1977. A critique of th-i asset pricing theory: someempirical results. Journal of Financial Bconomics. no.4: l.?9-176.

Roll, R. 1978. Ambiguity when performance is measured by thesecurities market line. The Journal of Finance. 33, no.4: 1051-1069. In: The Theory of Business Finance: A Book of Readings. Third Edition, eds. S. Archer and C D'Ambrosio. London: MacMillan Press.

Roll, R. 1979. A reply to Mayers and Rice (1979). Journal of Financial Economics. 7:391-400.

Roll, R. 1980. Performance evaluation and benchmark errors (I).The Journal ot Portfolio Management.. 6; 5-12.

Roll, R. 1983. Vas ist das? Journal of Portfolio Management. Winter: 18-28.

Roll, R. 1988. R‘. Tiie Journal of Finance. 42, no.4: 541-566. Roll, R. 1992. Volatil: y in US and Japanese stock markets: A

symposium. Journal of Applied Corporate Finance. 5.no.1:25-33.

Roll, R. and S. Ross 1980. An empirical investigation of the arbitrage pricing theory. The Journal of Finance. 35, no.5: 1073-1103. Reproduced in: The Theory of Business Finance: A Book of Readings. Third Edition. 222-243. eds. S. Archer

Page 2: The South African Journal of Business Management. The ...

o

and C D'Ambrosio. London: MacMillan Press.Roll, R. and S. Ross. 1984(a). The arbitrage pricing theory

approach to strategic portfolio planning. Financial Analysts Journal. May-June: 14-29.

Roll, R. and S. Ross. 1984(b). A critical re-examination ofthe empirical evidence on the arbitrage pricing theory: A reply. Tha Journal of Finance. 39, no.2: 347-350

Ross, S. 197 6. The arbitrage theory of capital pricing.Journal of Economic Theory. 13: 341-360.

Ross, S. 1977. Return, risk and arbitrage. In: Risk and Return in Finance, vol.1. ed. I. Friend and J. Bicksler. Cambrid ge Mass.: Ballinger Publishing Co.

Ross, S. 1984. A reply to Dhrymes; APT Is empiricallyrelevant. Journal of Portfolio Management. 10: 54-56.

Ross, S. 1985. On the empirical relevance of APT: Reply. Journal of Portfolio Management. 11: 72-73.

Rozeff, M. and W. Kinney. 1976. Capital market seasonality: the case of stock returns. Journal of Financial Economics. 3:379-402.

Ryan, C. 1989. What are the main objectives of the JSE? In:McGregor's The Mechanics of The Johannesburg Stock Exchange, ed. R. McGregor. Johannesburg: Juta & Co. Ltd.

Ryan, R. 1982. Capital market theory: a case study inmethodological conflict. Journal of Business Finance fc Accounting. 9, no.4: 443-457.

Saloner, G. 1977. The impact of trading volume on share price volatility. Unpublished MBA Thesis. University of the Witwatersrand, Johannesburg.

Schwert, W. 1983. Size and stock returns, and other empirical regularities. Journal of Financial Economics. 12: 3-12.

Seligman, D. 1983. Can you beat the stock market? Fortune International. Dec. 26: 82-97.

Seneque, P. 1979. The relationship between portfolio theory and the efficient market hypothesis. Investment AnalystJournal (SA). no.13: 17-2 0.

1987. Recent developments in the pricing of De Ratione. 1, no.2: 28-40.1989. Further developments in arbitrage pricing Unpublished Maruscript. University of Natal,

Seneque, P. assets.

Seneque, P. theory.Durban.

Shanken, J. 1982. The arbitrage jrricing theory: Is ittestable? The Journal of Finance. 37, no.5: 1129-1140.

Shanken, J. 1985 Multi-beta CAPM or equilibrium APT: A reply. The Journal of Finance. 40, no.4: 1189-1196.

Shanken, J. 1986. On the exclusion of assets from tesLs of the mear -variance efficiency of the market portfolio: An extension. The Journal of Finance. 41. no.2: 331-337.

Shanken, J. 1987(a). Multivariate proxies and asset pricingrelations: Living with the Roll critique. Journal of Financial Economics. 18: 91-110.

Shanken, J. 1987(b). A Bayesian approach to testing portfolio efficiency. Journal of Financial Economics. 19: 195-215.

Sharpe, W. 1963. A simplified model for portfolio analysis.Management Science. 9, no.2: 277-293. Reproduced in: Frontiers of Financial Analysis. Revised Edition. 90-107.

226

Page 3: The South African Journal of Business Management. The ...

ed.E. Fredrikson. Scranton: Intext Educational Publishers. Sharpe, W. 1964. Capital asset prices: * cneory of market

equilibrium under conditions of risk. The Journal of Finance. 19, no.3: 425-442. Reproduced in: The Theory of Business Finance: A Book of Readings. Third Edition. 126- 143. eds. S. Archer and C D'Ambrosio. London: MacMillan Pres3.

Sharpe, W. 1970. Portfolio Theory and Capital Markets. NewYork: McGraw-Hill.

Sharpe, W. 1984. Factor models, CAPMs and the APT. Journal of Portfolio Management. 21-25.

Sharpe, W. 1°91. Capital asset prices with and without negative holdings. The Journal of Finance. 46, no.2: 469-477.

Sharpe, W. and G. Cooper. 1972. Risk-return classes of NewYork Stock Exchange common stocks, 1931-1967. Financial Analysts Journal. March-April: 46-54.

Sharpe, W. and G. Alexander. 1990. Investments. Fourth Edition. Englewood Cliffs: Prentice-Hall.

Shiller, R. 1981. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review. 71:421-436.

Shleifer, A. 1986. Do demand curves for stocks slope down? The Journal of Finance. 41, no.3: 579-590.

Smirlock, M. and L. Starks. 1986. Day of the week and intraday effects in stock returns. Journal of Financial Economics. 17 :197-210.

Stambaugh, R. 1982. On the exclusion of assets from the tests of the two-parameter model: A sensitivity analysis. Journal of Financial Economics. 10:237-268.

Strebel, P. 1977. The limited efficiency of the Johannesburg Stock Exchange. Investment Analysts Journal no.10:15-20.

Strebel, P. 1978. Thin trading, market efficiency tests and The Johannesburg Stock Exchange: A rejoinder. Investment Analysts Journal no.12: 29-30.

Statman, M. 1987. How many s t o c k s make a d i v e r s i f i e dportfolio? Journal of Financial and Quantitative Analysis.22. no. 3: 353-363.

Stigler, G. 1961. The economics of information. Journal ofPolitical Economy 69, no.3. Reproduced in The Essence of Stigler. 46-66. eds. K. Leube and T. Moore. Stanford: Hoover Institution Press.

Stigler, G. 1982. The process and progress of economics. The Essence of Stigler. 135-149. eds. K. Leube ard T. Moore. Stanford: Hoover Institution Press.

Summers, L. 1986. Does the stock market rationally reflect fundamental values? The Journal of Finance. 41, no.3: 591-602.

Thaler, R. 1987a. The January effect. Economic perspectives. 1, no.1:197-201.

Thaler, R. 1987b. Seasonal movements in security prices II: Weekend, holiday, turn of the month, and intraday effects. Economic Perspectives. 1, no.2:169-177.

Tinic, S. and R. West. 1984. Risk and return: January vs. the rest of the year. Journal of Financial Economics. 13:561-

Page 4: The South African Journal of Business Management. The ...

574.Tobin, J. 1958. Liquidity references as behaviour towards risk.

Review of Economics and Statistics. 21, no.l: 65-86. Reproduced in: The Theory of Business Finance: A Book ofReadings. Third Edition. 101-125. eds. S. Archer and C D'Ambrosio. London: MacMillan Press.

Treynor, J. 1965. How to rate management of investment funds. Harvard Business Review. 43, no.l: 63-75. Reproduced in: Frontiers of Financial Analysis. Revised Edition. 234-253. ed.E. Fredrikson. Scranton: Intext Educational Publishers.

Trzcinka, C. 1986. On the number of factors in the arbitrage pricing model. The Journal of Finance. 41, no.2: 347-368.

Wagner, H. and C. Lau. 1971. The effect of diversification on risk. Financial Analysts Journal. Nov.-Dec.: 48-52.

Wallace, A. 1980. Is beta dead? Institutional Investor. July: 23-30.

Witt, S. and R. Dobbins. 1979. The Markowitz contribution to portfolio theory. Managerial Finance. 14, no.l: 3-1"7.

Zeghal, D. 1984. Firm size and the information content offinancial statements. Journal of Financial and QuantitativeAnalysis. 19, no.3: 299-310.

Zarnowitz, V. 1985. Recent work on business cycles in historical perspective: A review of theories and evidence. Journal of

. 23:523-580.

• ' < &

i#

Page 5: The South African Journal of Business Management. The ...

'

APPENDIXThis appendix contains the JSE codes of all the companies in the analysis contained in this paper.

NAMEAACAALABRACAADCAFCAFEAFLAFXAITALTAMCAMGAMIAMNAMRAOMAOOARGAROATNATOAVCAVHAVIBARBDNBILBLYBOLBOUBOYBRABRIBSTBUF

CMTCMUCNFCNGCOSCOTCUACULDBRDELDLKDLVDORDREDUKDUREDGEDSEGNELAELBERGETCEVTFALFOSFREFSBGARGBLGBRGFCGFPGFSGMFGPIGREGRKGTAHAG

IK1

MDRPOTHARHBNHVLHLNHCIHLHIGI

PGS PPC PRM PAS RDM RMP RFN

.229

Page 6: The South African Journal of Business Management. The ...
Page 7: The South African Journal of Business Management. The ...
Page 8: The South African Journal of Business Management. The ...

Author Davidson S R Name of thesis The capital asset pricing model and arbitage pricing theory on the Johannesburg Stock Exchange 1993

PUBLISHER: University of the Witwatersrand, Johannesburg

©2013

LEGAL NOTICES:

Copyright Notice: All materials on the Un i ve r s i t y o f the Wi twa te r s rand , Johannesbu rg L ib ra ry website are protected by South African copyright law and may not be distributed, transmitted, displayed, or otherwise published in any format, without the prior written permission of the copyright owner.

Disclaimer and Terms of Use: Provided that you maintain all copyright and other notices contained therein, you may download material (one machine readable copy and one print copy per page) for your personal and/or educational non-commercial use only.

The University of the Witwatersrand, Johannesburg, is not responsible for any errors or omissions and excludes any and all liability for any errors in or omissions from the information on the Library website.