Transformed Securities and Alternative Factor Structures
利用Procrustes旋转方法，检验了Grinblatt和Titman提出的证券重新包装解释，发现股票价格的经验结构与收敛性假设一致。
ABSTRACT Grinblatt and Titman (1985) reformulate a result of Chamberlain and Rothschild (1983) to show that the approximate factor structure of Chamberlain and Rothschild is asymptotically equivalent to the strict factor structure of Ross (1976) as long as investors can always repackage securities into an equal number of arbitrary portfolios. This paper uses a Procrustes rotation methodology that is compatible with the repackaging interpretation of Grinblatt and Titman to show that the empirical structure of stock prices is consistent with the convergency hypothesis.