TRANSFORMED SECURITIES AND ALTERNATIVE FACTOR STRUCTURES

• 成果类型: Note
• 署名作者: HUANG, RD; JO, HJ
• 署名单位: Santa Clara University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• 发表日期: 1992
• 页码: 397-405
• 关键词: arbitrage pricing theory; APT

摘要

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.