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

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.

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

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.Market efficiency, Random walk, Dividend yield, Dividend price ratio, Present value, Excess volatility, Gordon model

One Simple Test of Samuelson\u27s Dictum for the Stock Market

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

Credit Rationing with a Moral Hazard Problem

This paper examines an alternative model of credit rationing when moral hazard is present in the credit market. Two regimes are considered: one with a continuous trading assumption and the other with a restriction on trading. Continuous trading enables one to construct a riskless hedging portfolio and therefore leads to market failure. Under restrictions on trading, however, the entrepreneur of a firm does not undertake an extremely risky activity and the optimal strategy depends on the amount of debt: the larger the amount of debt, relative to the value of a firm's assets, the greater the entrepreneur's incentive to follow a risky strategy. In this situation, credit rationing is beneficial to lenders

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

JEL No. G14 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 sinc

SAMUELSON’S DICTUM AND THE STOCK MARKET

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 since 1926. (JEL G14) I

ONE SIMPLE TEST OF SAMUELSON’S DICTUM FOR THE STOCK MARKET

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

Samuelson's Dictum and the Stock Market

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 since 1926.(JEL G14) Copyright 2005, Oxford University Press.