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

Jeeman Jung and Robert J. Shiller ()
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Jeeman Jung: Sangmyung University

No 1386, Cowles Foundation Discussion Papers from Cowles Foundation, Yale University

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.

Keywords: Market efficiency; Random walk; Dividend yield; Dividend price ratio; Present value; Excess volatility; Gordon model (search for similar items in EconPapers)
JEL-codes: G14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-cfn, nep-fin and nep-fmk
Date: 2002-10-01
Note: CFP 1183.
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Published in Economic Inquiry (2005), 43(2): 221-228

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http://cowles.econ.yale.edu/P/cd/d13b/d1386.pdf (application/pdf)

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