No Arbitrage and Arbitrage Pricing: A New Approach
论证套利定价理论隐含一个低维非负非线性定价核，不假设线性因子结构，可定价原生和衍生证券。用半非参数方法估计定价核并检验理论，实证拒绝线性CAPM和APT，支持非线性APT，尤其能解释小公司收益变化。
ABSTRACT We argue that arbitrage‐pricing theories (APT) imply the existence of a low‐dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities. Semi‐nonparametric techniques are used to estimate the pricing kernel and test the theory. Empirical results using size‐based portfolio returns and yields on bonds reject the nested capital asset‐pricing model and linear APT and support the nonlinear APT. Diagnostics show that the nonlinear model is more capable of explaining variations in small firm returns.