The Arbitrage Pricing Theory and Supershares
证明，在包含市场组合期权的单期模型中，线性因子定价成立当且仅当市场方差在因子条件下为零；因子只需是市场的非线性函数。对于所有收益模式的精确线性定价，因子必须旋转等价于Hakansson的“超级股票”。多期模型有类似结果，但用消费替代市场收益。实证套利定价理论的方法与单期或多期模型均不一致。
ABSTRACT In a single‐period model with options on the market portfolio, linear factor pricing holds if and only if the variance of the market conditional on the factors is zero. There is no need for factors other than nonlinear functions of the market. For accurate linear pricing of all payoff patterns the factors must be rotationally equivalent to Hakansson's “supershares.” In a multiperiod model, a similar set of results holds, but with consumption replacing the market payoff. The methodology of the empirical Arbitrage Pricing Theory literature is not consistent with either the single‐period model or the multiperiod model.