This paper develops a cross-market version of factor pricing models. It is shown that exact factor pricing holds across two submarkets with respect to their "common factors" if and only if the unique pricing operator for the first submarket is equal to that for the other submarket with...

Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous and nontribial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive...

We develop a measurement theory of market integration, based on two notions of quot;integrated markets.quot; First, two markets cannot be perfectly integrated in any sense if one can construct two portfolios, one from each market, that have identical payoffs but different prices. In that case,...

Closely-integrated markets should assign to similar payoffs prices that are close. This is the idea on which a measurement theory of market integration is developed in this paper. Two markets are said to be perfectly integrated in the weak sense if there is at least one stochastic discount...

Any admissible portfolio performance measure should satisfy four minimal conditions: it assigns zero performance to each reference portfolio and it is linear, continuous and nontribial. Such an admissible measure exists if and only if the securities market obeys the law of one price. A positive...