Scientific Research Program Documents
 

Financial Economics Research in Capital Markets and Asset Pricing

 


 

"Stock index funds based on cap, style or dividends are fallacious and many are a hoax."

 

Research findings are the message. The message, not the messenger, is what is most important in this research. Supplementary documents are included to enable greater understanding of the message and thereby empower readers who may then be able to verify the research findings at some level on their own.

Research Letters, Notes, and Presentations are included to make the research papers more accessible to readers who have no specialized knowledge in financial economics and econometrics.

Research Summaries are included to provide brief (one-page) overviews of the research papers.

Research Papers are included after they are published in scholarly, scientific economics journals. Until then, they are embargoed.

Red asterisks indicate documents with less-technical language level and thus greater accessibility by a larger audience.

 


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Research-Related Letters

Letter to the Editor, June 28, 2006, RE: "Turn on a Paradigm?", The Wall Street Journal

 

Comments on: "Turn on a Paradigm?", The Wall Street Journal, June 27, 2006, op-ed article

 

114

 

135

 

*

 

WSJ letter

 

WSJ article

Letter to the Editor, July 10, 2006, RE: "The 'Noisy Market' Hypothesis", WSJ.com

 

Comments on: "The 'Noisy Market' Hypothesis", WSJ.com, June 14, 2006, commentary article

130

 

118

*

 

WSJ.com letter

 

WSJ.com article

Blogs and Forums, RE: Return Factors and Fundamental Indexation (Portfolio Stock Selection and Portfolio Stock Weighting)

243

 

blogs and forums

Letter from Wall Street Journal editor, July 21, 2003, RE: Letter about the Three-Factor-Model fatal fallacy and hoax, July 14, 2003

372

 

WSJ editor

Research Notes
Review of: Stocks for the Long Run 112

*

book review
History Versus Science 119

*

history
What is the Stock Market Hoax in a Nutshell? 68

*

nutshell
What Is Verification of Scientific Research? 84

*

verification
What Is Genuine Method? 103   method
What Is Circular Reasoning? 149   reasoning
What Is Isolation of the Unknown? 74   isolation
What Is Econometrics? 123   econometrics
What Is Econometric Simultaneity? 61   simultaneity
What Is Fundamental Indexation? 115   indexation
Comments on: Irrational Exuberance 82   exuberance
Comments on: Econometrics of Financial Markets 115   markets
Comments on: Asset Pricing (and Tautology) 195   tautology
A Typology of Asset Pricing Models 176 typology
A History of the Size Effect 152 history
Evolution of Stock Pricing 97   evolution
Investment Style Box and the Three-Factor Model 144   style box
Visual Detection of Circular Reasoning: Three-Factor Model 108   visual detection
Fatal Fallacy: Summary 147   fatal fallacy
Sources of Size and Value Index Data 174   indexes
Econometric Models and Samples: Equivalence 254   equivalence
Survey: Who Is Involved in the Grand Design? 122   survey

Why Is There Silence?

77

* silence

Presentation of Grand Design: Background

131

*

background

Research Presentations

Get MS PowerPoint for PPT files

A Grand Design: Financial Engineering

117

91

*

PDF design

PPT design

Aristotle as Finance Journalist: Personal Investing [Intended audience is journalists]

153

92

*

PDF journalist

PPT journalist

Aristotle as Investor: Happiness and Prudence

[Intended audience is investors: high-net-worth individuals and retirement-savings plans]

154

92

 

PDF investor

PPT investor

Aristotle as Portfolio Manager: Begging the Question in Stock Pricing

[Intended audience is finance practitioners: analysts]

121

56

106

 

PDF manager

PPT manager

PDF handout

Aristotle as Finance Professor: Stock Pricing Anomalies and Fallacies

[Intended audience is finance academicians: researchers]

42   professor

Investment Style: Two Views

71   invest style

Stock Investor Errors: Quantitative and Index Funds

63   invest errors

Research Summaries

(Abstract and Conclusions)

Asset Pricing Simultaneity, Three-Factor Model and Cost Analysis 95   APS1: summary
Asset Pricing Simultaneities: Phases and Patterns 111   APS2: summary
Rebuttal to Comments: Asset Pricing Simultaneities: Phases and Patterns (includes Supplement)

95

 

rebuttal: summary

Dialogue about the Three-Factor Model of Return

99

 

dialogue: summary

Demise of an Investment Revolution and Its New Paradigms

95

 

demise: summary

Stock Valuation Methods, Models and Heuristics

105

 

heuristics: summary

Genuine Method as a Diagnostic Test for Threats to the Validity of Causal Inference

97

  genuine: summary

Asset Pricing Simultaneity: Circular Reasoning in Stock Pricing

97   APS3: summary

Asset Pricing Simultaneity Contagion

96

 

APS4: summary

Single-Equation Simultaneity Paradox

101

 

paradox: summary

Aristotle as Investment Manager: Circular Reasoning in Stock Pricing 99   aristotle: summary
Research Papers
Asset Pricing Simultaneity, Three-Factor Model and Cost Analysis, Indian Journal of Economics & Business, Vol. 4, No. 1, (June 2005), 73-94. ISSN: 0972-5784. [eJEL and full article online]

html

117

 

APS1: contents

APS1: article

Asset Pricing Simultaneities: Phases and Patterns, Annals of Economics and Finance, Vol. 7, No. 1, (May 2006), pp. 49-76. [eJEL and full article online]

html

html

340

 

APS2: contents

APS2: abstract

APS2: article

Rebuttal to Comments: Asset Pricing Simultaneities: Phases and Patterns (includes Supplement)

3640

 

rebuttal

Dialogue about the Three-Factor Model of Return

247

 

dialogue

Demise of an Investment Revolution and Its New Paradigms

277

 

demise

Stock Valuation Methods, Models and Heuristics

255

 

heuristics

Genuine Method as a Diagnostic Test for Threats to the Validity of Causal Inference

361

  genuine

Asset Pricing Simultaneity: Circular Reasoning in Stock Pricing

333   APS3

Asset Pricing Simultaneity Contagion

358

 

APS4

Single-Equation Simultaneity Paradox

Supplement (tables and figures)

404

785

 

paradox

supplement

Aristotle as Investment Manager: Circular Reasoning in Stock Pricing 136   aristotle

Circling the Square: Experiments in Regression 162 circling square

Critique of Asset Pricing Circularity

Technical Appendix

107

252

116

circularity: abstract

circularity: text

circularity: appendix


The R&D Effect with Static Stock Pricing

107

133

77

R&D static: abstract

R&D static: text

R&D static: tables

The R&D Effect with Dynamic Stock Pricing

107

142

118

 

R&D dynamic: abstract

R&D dynamic: text

R&D dynamic: tables

The Proprietary-R&D Effect n/a R&D proprietary
Stock Market Pricing: Anomalies and Fallacies

123

n/a

 

book preface

book proposal


 

Each of the R&D-effect papers is divided into two parts, text and tables. Both parts are needed for a complete paper. The 1996 dissertation entitled Capital Market Efficiency of Firms Financing Research and Development by R. D. Coleman is available from UMI Dissertation Services (UMI Number 9624265), and it contains all the tables contained in both papers.

 

The manuscripts available for free anonymous download are copyrighted and placed in the public domain for comment and constructive criticism by scholarly researchers, analysts and investors. You can use Adobe Acrobat Reader to open the PDF (Portable Document Format) files. To download a copy, go to Adobe Acrobat Free Reader. Microsoft PowerPoint software is necessary to open the PPT files for slideshow presentations.

 

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Key Words: Econometric model, Stock pricing model, Portfolio pricing model, Fama French Three Factor Model of return, FF3F, Total return, Expected return, Three Factor Model, Size factor, Value factor, Size effect, Value effect, Size premium, Value premium, Cap, Small cap, Mid cap, Large cap, Style, Value style, Growth style, Index funds, Fallacy, Fatal fallacy, Fatal flaw, Hoax, Contagion, Equation, Causality, Inference, Simultaneity, Circular simultaneity, Vicious circular reasoning, Genuine method, Formula, Heuristics.

 

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Practical Guides

 

Amazon.com
ISBN1577660633

Economical Writing, 2nd edition, 1999, paperback
Deirdre N. McCloskey, Waveland Press.

Contains 31 rules written with clarity, brevity and wit.

Amazon.com
ISBN 0201626632

A Ph.D. Is Not Enough! A Guide to Survival in Science, 1993
paperback, Peter J. Feibelman, Cambridge, MA: Perseus Books
Thesis advisors, job interviews, grant proposals, research program.

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document

How to Publish in Top Journals, Kwan Choi, Editor, RIE, 1998, General Publication Strategies, Writing Strategies, Preparation and Submission, Rejection and Revision, Being a Good Referee. [This is one approach. It may not work for everyone, but it illustrates the need to think things through thoroughly based on the factual situation.]

Library

Cabell's Directory of Publishing Opportunities in Accounting, Economics and Finance. Cabellís is a directory of journals accepting articles in accounting, economics and finance, with their addresses and submission requirements.

 

Copyright © 1996-2006 Robert D. Coleman. All rights reserved.