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In this paper, I set up scenarios where the mean-variance capital asset pricing model is true and where it is false. Then I investigate whether the coefficients from regressions of population expected excess returns on population betas, and expected excess returns on betas and size, allow us to distinguish between the scenarios. I show that the coefficients(More)
This article consists of a summary of the central points in the work of recent investigators of near-death experiences (NDEs). It considers the work of Moody, Osis, Rawlings, Ring, Sabom, and Grof as well as the criticisms of Noyes and Siegel. The appearance of a common core in the experiences suggests the presence of more than ordinary hallucinations.(More)
This paper provides a substantive connection between the infinitesimal generator of the semigroup of pricing operators and conditions required for absence of arbitrage in security prices. The practical importance of recognizing the semigroup properties is illustrated by considering the implications for empirical tests of discounted dividend models of stock(More)
What role have theoretical methods initially developed in physics played in the progress of financial economics? What is the relationship between financial economics and econophysics? What is the relevance of the 'ergodicity hypothesis' to financial economics? This paper addresses these questions by reviewing the etymology and history of the ergodicity(More)
This Monte Carlo study compares the small sample properties of some commonly used omnibus and directional tests, based on the standardized third and fourth moments, for assessing the normality of random variables: the omnibus D'Agostino K 2 test and the directional components, and three versions of the Jarque-Bera test. The simulation results demonstrate(More)
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