Samuelson's Dictum and the Stock Market

Jeeman Jung and Robert Shiller

Economic Inquiry, 2005, vol. 43, issue 2, 221-228

Abstract: Samuelson has 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 article, we review a strand of evidence in recent literature that supports Samuelson's dictum and present one simple test, based on a regression and a simple scatter diagram, that vividly illustrates the truth in Samuelson's dictum for the U.S. stock market data since 1926.(JEL G14) Copyright 2005, Oxford University Press.

JEL-codes: G14 (search for similar items in EconPapers)
Date: 2005
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Citations: View citations in EconPapers (27)

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