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

Jeeman Jung and Robert Shiller

Yale School of Management Working Papers from Yale School of Management

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)
Date: 2002-11-01, Revised 2003-11-01
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Persistent link: https://EconPapers.repec.org/RePEc:ysm:wpaper:ysm315

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