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One Simple Test of Samuelson's Dictum for the Stock Market / Jeeman Jung, Robert J. Shiller.
- Format:
- Book
- Author/Creator:
- Jung, Jeeman.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w9348.
- NBER working paper series no. w9348
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2002.
- Summary:
- 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.
- Notes:
- Print version record
- November 2002.
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