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.
Jung, Jeeman and Shiller, Robert J., "One Simple Test of Samuelson's Dictum for the Stock Market" (2002). Cowles Foundation Discussion Papers. 1651.