Some Results in the Theory of Arbitrage Pricing
改进了Huberman的“无偏好”定价定理，推导出资产预期收益与因子响应及残差协方差结构的关系，适用于无套利机会的无限资产经济，并讨论了实证检验和绩效测量的应用。
ABSTRACT This paper derives a stronger version of Huberman's recent “preference free” pricing theorem. This pricing result relates the expected return on an asset to its factor responses and the covariance structure of the residuals from a linear factor model. It must characterize any infinite asset economy in which no arbitrage opportunities are present whether or not the factor model has uncorrelated residuals. This result provides the intuition for the role of residual risk in the pricing model and eliminates some classes of arbitrage opportunities still present under Huberman's bound. Some applications to empirical tests and performance measurement are also discussed.