The Current State of the Arbitrage Pricing Theory
对Reisman（1992）关于套利定价理论中因子代理变量的定理给出了简单证明，指出任何与因子相关的变量都可用作近似预期收益关系的基准，并提出了实证研究的新方向。
This paper provides a simple proof of a recent theorem presented by Reisman (1992), concerning the use of proxies for the factors in the return-generating process of the arbitrage pricing theory (APT). In the single-factor case, the theorem asserts that any variable correlated with the factor can serve as the benchmark in an approximate APT expected return relation. The significance of this result is considered and a new direction for empirical work on “arbitrage pricing” is outlined.