One Simple Test of Samuelson's Dictum for the Stock Market

No 9348, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: Samuelson (1998) offered the dictum that the stock market is 'micro efficient' but 'macro inefficient.' That is, the efficient markets hypothesis works much better for individual stocks than it does for the aggregate stock market. In this paper, we present one simple test, based both on regressions and on a simple scatter diagram that vividly illustrates that there is some truth to Samuelson's dictum. The data comprise all U.S. firms on the CRSP tape that have survived since 1926.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2002-11
New Economics Papers: this item is included in nep-cfn, nep-fin, nep-fmk and nep-rmg
Note: AP EFG ME
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Citations: View citations in EconPapers (4)

Published as Jung, Jeeman and Robert J. Shiller. "Samuelson's Dictum And The Stock Market," Economic Inquiry, v43(2,Apr), 2005, 201-228.

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Working Paper: One Simple Test of Samuelson's Dictum for the Stock Market (2003)
Working Paper: One Simple Test of Samuelson's Dictum for the Stock Market (2002)
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