6.5. It makes a difference whether one includes the risk-free rate in the model. Consider two versions of a fundamental factor model:

ri  α (1)
β

i f (1)
i  ~ N[0, (σ (1))2]

ri  rf  α (2)
β

i f (2)
i  ~ N[0, (σ (2))2]

where rf is the risk-free rate.