Abstract

http://ssrn.com/abstract=348180
 
 

References (18)



 
 

Citations (4)



 


 



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


Jeeman Jung


Sangmyung University - Division of Economics & International Trade

Robert J. Shiller


Yale University - Cowles Foundation; National Bureau of Economic Research (NBER); Yale University - International Center for Finance

November 2002

Cowles Foundation Discussion Paper No. 1386; Yale ICF Working Paper No. 02-39

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.

Number of Pages in PDF File: 19

Keywords: Market Efficiency, Random Walk, Dividend Yield, Dividend Price Ratio, Present Value, Excess Volatility, Gordon Model

JEL Classification: G14

working papers series





Download This Paper

Date posted: November 4, 2002  

Suggested Citation

Jung, Jeeman and Shiller, Robert J., One Simple Test of Samuelson's Dictum for the Stock Market (November 2002). Cowles Foundation Discussion Paper No. 1386; Yale ICF Working Paper No. 02-39. Available at SSRN: http://ssrn.com/abstract=348180

Contact Information

Jeeman Jung
Sangmyung University - Division of Economics & International Trade ( email )
7 Hongjidong, Jongro-ku
Seoul, 110-743
Korea
Robert J. Shiller (Contact Author)
Yale University - Cowles Foundation ( email )
Box 208281
New Haven, CT 06520-8281
United States
203-432-3708 (Phone)
203-432-6167 (Fax)
HOME PAGE: http://www.econ.yale.edu/~shiller/
National Bureau of Economic Research (NBER) ( email )
1050 Massachusetts Avenue
Cambridge, MA 02138
United States
203-432-3708 (Phone)
Yale University - International Center for Finance ( email )
Box 208200
New Haven, CT 06520
United States
203-432-3708 (Phone)
203-432-6167 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 5,956
Downloads: 1,401
Download Rank: 6,318
References:  18
Citations:  4

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo1 in 0.360 seconds