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Full-Text Articles in Social and Behavioral Sciences
From Efficient Market Theory To Behavioral Finance, Robert J. Shiller
From Efficient Market Theory To Behavioral Finance, Robert J. Shiller
Cowles Foundation Discussion Papers
The efficient markets theory reached the height of its dominance in academic circles around the 1970s. Faith in this theory was eroded by a succession of discoveries of anomalies, many in the 1980s, and of evidence of excess volatility of returns. Finance literature in this decade and after suggests a more nuanced view of the value of the efficient markets theory, and, starting in the 1990s, a blossoming of research on behavioral finance. Some important developments in the 1990s and recently include feedback theories, models of the interaction of smart money with ordinary investors, and evidence on obstacles to smart …
One Simple Test Of Samuelson's Dictum For The Stock Market, Jeeman Jung, Robert J. Shiller
One Simple Test Of Samuelson's Dictum For The Stock Market, Jeeman Jung, Robert J. Shiller
Cowles Foundation Discussion Papers
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.