Reference Variables, Factor Structure, and the Approximate Multibeta Representation
假设资产收益满足因子结构，推导出当参考变量对因子的回归矩阵非奇异时，近似多贝塔表示成立的条件，并讨论了对套利定价理论可检验性的影响。
ABSTRACT The Arbitrage Pricing Theory (APT) implies that if asset returns have a factor structure, then an approximate multibeta representation holds with respect to the factors as reference variables. This paper assumes that asset returns satisfy a factor structure and derives a condition under which the approximate multibeta representation holds with respect to a set of reference variables which may not be the factors. This condition is that the regression matrix of the reference variables on the factors is nonsingular. Implications for the testability of the APT are also discussed.