Paul A.Samuelson has argued that one would expect that the efficient markets hy-pothesis should work better for individualstocks than for the stock market as a whole:
Modern markets show considerable micro efficiency (for the reason that the minority who spot aberrations from micro efficiency can make money from those occurrences and,in doing so, they tend to wipe out any persistent inefficiencies).
In no contradiction to the previous sentence,I had hypothesized considerable macro inefficiency,in the sense of long waves in the time series of aggregate indexes of security prices below and above various definitions of fundamental values.
We shall see in this article that there is now substantial evidence supporting Samuelson’sdictum where market inefficiency is definedas predictability of future (excess) returns.We will also present a new test and scatter di-agram that clarifies the truth in this dictum.