The arbitrage pricing theory implies that if asset returns have a factor structure, then an approximate multibeta representation holds with respect to the factors as reference variables. This paper assumes that asset returns satisfy a factor structure and derives a condition under which the...

It is shown that the arbitrage pricing theory holds in each infinitesimal period of a continuous trading model under the assumption that dividend payoffs are functionals of factor and idiosyncratic uncertainty. This generalizes the one-period model's result that the arbitrage pricing theory...

The paper reviews some aspects of arbitrage pricing theory (APT). It derives an improved version of the model and examines it in view of the APT debate, adding some new observations in favour of the model. The topics examined include: (a) model testability; (b) implications of approximate APT...

The ‘law of one accounting variable’ is defined in this paper as an extension of ‘the law of one price’. It says roughly that if the future payoffs of two assets are the same (in every state of the world), then the accounting variable of the assets are approximately the same. The paper...

We derive a version of the CAPM in which investor preferences depend only on the mean and variance of the ratio between the portfolio return and a reference return. The reference return is specific to each investor, and can also be interpreted as a proxy of the consumption of his neighbors. That...

My theme under the heading ‘Leadership as a resource — interpersonal skills’ will focus attention on recognising, developing, constructing and resourcing a major, albeit often unrecognised, and apparently intangible, factor in the success or failure of ‘adaptation’: the skills,...