Samuelson's Dictum and the Stock Market

@inproceedings{Jung2005SamuelsonsDA,
  title={Samuelson's Dictum and the Stock Market},
  author={J. Jung and R. Shiller},
  year={2005}
}
Samuelson has 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 article, we review a strand of evidence in recent literature that supports Samuelson's dictum and present one simple test, based on a regression and a simple scatter diagram, that vividly illustrates the truth in Samuelson's dictum for the U.S. stock market data… Expand
90 Citations
Information Aggregation Bias and Samuelson’s Dictum∗
  • 1
  • Highly Influenced
  • PDF
Aggregation and Samuelson ’ s Dictum ∗
  • Highly Influenced
  • PDF
Paul Samuelson’s Ways to Macroeconomic Dynamics
  • 7
  • PDF
Dividends, prices and the present value model: firm-level evidence
  • 14
Investor Information Choice with Macro and Micro Information
  • 6
  • Highly Influenced
  • PDF
Paul Samuelson’s ways to macroeconomic dynamics
  • Highly Influenced
  • PDF
Market timing with aggregate accruals
  • PDF
...
1
2
3
4
5
...

References

SHOWING 1-10 OF 31 REFERENCES
The Price is (Almost) Right
  • 110
  • PDF
Mean Reversion in Stock Prices: Evidence and Implications
  • 998
  • PDF
The Value Spread
  • 428
  • Highly Influential
What Drives Firm-Level Stock Returns?
  • 864
  • PDF
Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
  • 2,025
  • PDF
Stock Prices, Earnings and Expected Dividends
  • 2,332
  • PDF
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
  • 3,760
  • PDF
...
1
2
3
4
...