<p>1、Market microstructure and asset pricing: On the compensation for illiquidity in stock returns</p><p>作者：Brennan, Michael J. Subrahmanyam, Avanidhar</p><p>杂志：Journal of Financial Economics 1996（41）p 441–464</p><p>连接：http://www.sciencedirect.com/science/article/B6VBX-3VVVRX5-9/2/fcbbd4902040c1aca905dbb672bc3c5e</p><p>2、Alternative factor specifications, security characteristics, and the cross-section of expected stock returns.</p><p>作者：Brennan, Michael J., Chordia, Tarun, Subrahmanyam, Avanidhar</p><p>杂志：Journal of Financial Economics 1998（49）, 345-373.</p><p>连接：http://www.sciencedirect.com/science/article/B6VBX-408CBS1-3/2/bc2dabc6531c6f2847145d194230e85d</p><p>3、The Cross-Autocorrelation of Size-based Portfolio&nbsp; Returns is Not an Artifact of Portfolio Autocorrelation&nbsp; </p><p>作者:Terry Richardson&nbsp; David R. Peterson&nbsp; </p><p>杂志：Journal of Financial Research 1999(22), 1--13&nbsp; </p><p>链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=127108 </p><p></p>

[此贴子已经被作者于2009-5-30 18:34:54编辑过]