Asset Pricing Simultaneities: Phases and Patterns

Robert D. Coleman

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.