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

Jeeman Jung, Robert J. Shiller

NBER Working Paper No. 9348
Issued in November 2002
NBER Program(s):   AP   EFG   ME

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.

(517 K)

Published: 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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