  |
|
|
||||
|
||||
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.
Keywords: Market Efficiency, Random Walk, Dividend Yield, Dividend Price Ratio, Present Value, Excess Volatility, Gordon Model JEL Classifications: G14 Working Paper SeriesDate posted: November 04, 2002 ; Last revised: November 27, 2003Suggested CitationContact Information
|
|
|||||||||||||||||||||||||||
© 2010 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was served by apollo5b in 0.422 seconds.
One-Click Download
Facebook
Twitter
Digg
Del.icio.us
CiteULike
