IDEAS home Printed from https://ideas.repec.org/a/bla/jfinan/v44y1989i2p263-81.html
   My bibliography  Save this article

The Arbitrage Pricing Theory and Supershares

Author

Listed:
  • Latham, Mark

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 Nils 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 or the multiperiod model. Copyright 1989 by American Finance Association.

Suggested Citation

  • Latham, Mark, 1989. "The Arbitrage Pricing Theory and Supershares," Journal of Finance, American Finance Association, vol. 44(2), pages 263-281, June.
    • Handle: RePEc:bla:jfinan:v:44:y:1989:i:2:p:263-81
    as

    Download full text from publisher

    File URL: http://links.jstor.org/sici?sici=0022-1082%28198906%2944%3A2%3C263%3ATAPTAS%3E2.0.CO%3B2-C&origin=repec
    File Function: full text
    Download Restriction: Access to full text is restricted to JSTOR subscribers. See http://www.jstor.org for details.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Nawalkha, Sanjay K., 1997. "A multibeta representation theorem for linear asset pricing theories," Journal of Financial Economics, Elsevier, vol. 46(3), pages 357-381, December.
    2. K. C. John Wei & Cheng F. Lee & Alice C. Lee, 1999. "Linear Conditional Expectation, Return Distributions, And Capital Asset Pricing Theories," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 22(4), pages 471-487, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:44:y:1989:i:2:p:263-81. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.