1、Price discovery and common factor models*1

Richard T. Baillie, G. Geoffrey Booth, Yiuman Tse,  and Tatyana Zabotina

Journal of Financial Markets
Volume 5, Issue 3, July 2002, Pages 309-321

2、Common factor components versus information shares: a reply

Frederick H. deB. Harris,  Thomas H. McInish and Robert A. Wood

Journal of Financial Markets
Volume 5, Issue 3, July 2002, Pages 341-348 、

3、Stalking the “efficient price” in market microstructure specifications: an overview

Joel Hasbrouck,

Journal of Financial Markets
Volume 5, Issue 3, July 2002, Pages 329-339

4、Security price adjustment across exchanges: an investigation of common factor components for Dow stocks

Frederick H. deB. Harris,  Thomas H. McInish and Robert A. Wood

Journal of Financial Markets
Volume 5, Issue 3, July 2002, Pages 277-308

5、Some desiderata for the measurement of price discovery across markets

Bruce N. Lehmann,
Journal of Financial Markets
Volume 5, Issue 3, July 2002, Pages 259-276

[此贴子已经被作者于2008-9-19 12:28:05编辑过]