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

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  • Jeeman Jung
  • Robert Shiller

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.

Suggested Citation

  • Jeeman Jung & Robert Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," Yale School of Management Working Papers ysm315, Yale School of Management, revised 01 Nov 2003.
    • Handle: RePEc:ysm:wpaper:ysm315
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    File URL: https://repec.som.yale.edu/icfpub/publications/2584.pdf
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    References listed on IDEAS

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