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寒さが続いておりますが、皆様にはお変わりなくお過ごしのことと存じます。

さて下記の内容で、第14回研究会を開催いたします。
皆様、奮ってご参加いただきますよう、お願い申しあげます。

今回はソシオネットワーク戦略研究機構と共催となりましたので、会場が変更になりました。

記

日　時：2019年1月31日（木）15:00～16:30

場　所：マルチメディア・ラボ　（ソシオネットワーク戦略機構 6Ｆ）　

報告者：
Giacomo Rondina　氏（University of California, San Diego, Department of Economics, Associate Teaching Professor）

タイトル：
”Samuelson’s Dictum: Evidence, Theory, and Implications”

<要　旨＞
Using data on all firms that paid a dividend in the Center for Research in Security Prices (CRSP) data set, we show that for individual firms the dividend-price ratio accurately forecasts the future growth in dividends, and that the deviation in prices relative to fundamentals is in line with the discounted present value model of stock prices at the individual firm level. This micro efficiency stands in stark contrast to the macro inefficiency that we document.
Aggregating individual stocks into equal-weighted, cap-weighted portfolios or an aggregate index delivers resounding rejections of the present value model. We conduct two standard tests of the linear present value model of stock prices: a simple regression of future dividend changes on the dividend-price ratio and a test for excess volatility (i.e., price volatility above and beyond that accounted for by the expected present value of dividends).
Both tests deliver micro efficiency and macro inefficiency. We propose an informational based theory that can reconcile the two findings, pointing to a mis-specification in the test routinely used to evaluate macro efficiency.

以　上