One Simple Test of Samuelson's Dictum for the Stock Market
Working Paper 9348
DOI 10.3386/w9348
Issue Date
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.
Published Versions
Jung, Jeeman and Robert J. Shiller. "Samuelson's Dictum And The Stock Market," Economic Inquiry, v43(2,Apr), 2005, 201-228.