Actually there was a "study" that tried to prove this, but what the guy did is took one of Blanchard's surveys used to gauge AGP and changed the wording around so it applied to females. Except in doing that it also changed the meaning of a lot of the questions, which invalidates the results.

Taken from here

Moser (2009) reported the responses of 29 female hospital employees to his Female Autogynephilia Scale, which used items modified from scales originally devised by Blanchard (1985, 1989b) to measure autogynephilia and related traits (Lawrence, 2010b). About half of respondents reported at least occasional "autogynephilic" arousal. But Moser modified Blanchard's original language on the advice of female colleagues and friends, to better investigate the specifics of their self-reported arousal or to provide "needed context" (Moser, 2010a, p. 694). Consequently, Moser's modified items arguably did not adequately distinguish between being aroused by wearing sexy clothing or by imagining that a potential romantic partner finds one attractive — which natal women apparently do experience — and being aroused simply by the idea that one is wearing women's clothing or has a woman's body — which natal women probably rarely if ever experience (Lawrence, 2010b). Moser (2009) conceded that "It is possible that autogynephilia among MTFs and natal women are different phenomena and the present inventories lack the sophistication to distinguish these differences" (p. 544). Lawrence (2010b) argued that this was probable, on the grounds that Moser's items "fail[ed] to adequately assess the essential element of autogynephilia — sexual arousal simply to the thought of being a female" (p. 3).