Asset Pricing Simultaneities: Phases and Patterns

Robert Coleman
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Robert Coleman: 3715 Bryn Mawr Drive

Annals of Economics and Finance, 2006, vol. 7, issue 1, 49-76

Abstract: We show that asset pricing models of return with risk factors that entail either shares or dividends are logically circular simultaneities and thus are fallacious, meaningless, non-interpretable, indeterminate and not valid when tested and estimated by scientific statistical methods. This extends the findings for such models with risk factors that entail price. We also show that stock-split events are not a counter-example. Further we demonstrate that shares-, dividends- and price-entailing asset pricing simultaneities conform to three phases: events, individual risk factors and multifactor return models, and these simultaneities reflect patterns that have a common source which suggests a grand design.

Keywords: Capital asset pricing; Portfolio; Factor model; Price; Dividends; Shares; Stock splits; Simultaneity; Fallacy of circular reasoning; Logical validity; Scientific validity (search for similar items in EconPapers)
JEL-codes: C12 C14 G12 (search for similar items in EconPapers)
Date: 2006
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Persistent link: https://EconPapers.repec.org/RePEc:cuf:journl:y:2006:v:7:i:1:p:49-76

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