Scientific Research Program Documents

"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.


DOCUMENT (PDF or PPT File) Get free Adobe Acrobat Reader for PDF files.	SIZE (KB)		CLICK TO VIEW OR DOWNLOAD
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.

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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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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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