A Global Version of Samuelson's Dictum

doi:10.1257/aeri.20210186

A Global Version of Samuelson's Dictum

2022-06-01

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DOI：10.1257/aeri.20210186

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Samuelson's Dictum refers to the conjecture that there is more informational inefficiency at the aggregate stock market level than at the individual stock level. Our paper recasts it in a global setup: there should be more informational inefficiency at the global level than at the country level. We find that sovereign CDS spreads can predict future stock market index returns, GDP, and PM! of their underlying countries. Consistent with the global version of Samuelson's Dictum, the predictive power for both stock returns and macro variables is almost entirely from the global, rather than country-specific, information from the sovereign CDS market.

Keywords:

STOCK-PRICES

SOVEREIGN

A Global Version of Samuelson's Dictum

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