TY  - JOUR
AU  - Jung,Jeeman
AU  - Shiller,Robert J.
TI  - One Simple Test of Samuelson's Dictum for the Stock Market
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9348
PY  - 2002
Y2  - November 2002
UR  - http://www.nber.org/papers/w9348
L1  - http://www.nber.org/papers/w9348.pdf
N1  - Author contact info:
Robert J. Shiller
Yale University, Cowles Foundation
Box 208281
30 Hillhouse Avenue
New Haven, CT  06520-8281
Tel: 203/432-3708
Fax: 203/432-6167
E-Mail: robert.shiller@yale.edu
AB  - 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.
ER  -