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

Authors

Jeeman Jung
Robert J. Shiller

Document Type

Discussion Paper

Publication Date

10-1-2002

CFDP Number

1386

CFDP Pages

18

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.

Recommended Citation

Jung, Jeeman and Shiller, Robert J., "One Simple Test of Samuelson's Dictum for the Stock Market" (2002). Cowles Foundation Discussion Papers. 1651.
https://elischolar.library.yale.edu/cowles-discussion-paper-series/1651