The Arbitrage Pricing Theory and Supershares
在单期和多期模型中证明，线性因子定价成立当且仅当市场条件方差为零，且因子需与Hakansson的“超级股票”旋转等价，对实证套利定价理论的方法论提出质疑。
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.