NO ARBITRAGE AND ARBITRAGE PRICING - A NEW APPROACH

• 成果类型: Article
• 署名作者: BANSAL, R; VISWANATHAN, S
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329037
• 发表日期: 1993
• 页码: 1231-1262
• 关键词: MULTIPERIOD SECURITIES MARKETS; moments estimators; generalized-method; models; RISK; valuation; assets; diversification; consumption; ECONOMY

摘要

We argue that arbitrage-pricing theories (APT) imply the existence of a low-dimensional nonnegative nonlinear pricing kernel. In contrast to standard constructs of the APT, we do not assume a linear factor structure on the payoffs. This allows us to price both primitive and derivative securities. Semi-nonparametric techniques are used to estimate the pricing kernel and test the theory. Empirical results using size-based portfolio returns and yields on bonds reject the nested capital asset-pricing model and linear APT and support the nonlinear APT. Diagnostics show that the nonlinear model is more capable of explaining variations in small firm returns.