  In this paper, we investigate the convergence of products of conditional
expectation operators. We show that if $(\Omega,\cal{F},P)$ is a probability
space that is not purely atomic, then divergent sequences of products of
conditional expectation operators involving 3 or 4 sub-$\sigma$-fields of
$\cal{F}$ can be constructed for a large class of random variables in
$L^2(\Omega,\cal{F},P)$. This settles in the negative a long-open conjecture.
On the other hand, we show that if $(\Omega,\cal{F},P)$ is a purely atomic
probability space, then products of conditional expectation operators involving
any finite set of sub-$\sigma$-fields of $\cal{F}$ must converge for all random
variables in $L^1(\Omega,\cal{F},P)$.
