Transformed Securities and Alternative Factor Structures
使用Procrustes旋转方法，基于Grinblatt和Titman的重新包装解释，实证检验股票价格结构是否与近似因子结构收敛于严格因子结构的假设一致。
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.