Working Paper: NBER ID: w9348
Authors: Jeeman Jung; Robert J. 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.
Keywords: efficient markets hypothesis; Samuelson's dictum; dividend-price ratio; stock market efficiency
JEL Codes: G14
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| dividend-price ratio (G35) | future dividend growth (G35) |
| future dividend growth (G35) | dividend-price ratio (G35) |