1、time varying factors and cross autocorrelations in short horizon stock returns

作者：Allaudeen Hameed

杂志：journal of financial research 1997(20)435-458

链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=8187

2、time varying expected return

作者：conrad,Jennifer,and gautam kaul,

杂志：journal of business 1988(61) 409-425

链接：

3、delayed reaction  to good news and cross-autocorrelation of portfolio returns

作者：mecqueen,grant Michael pinegar and steven thorley

杂志：journal of finance 1996(51) 889-920

链接：http://links.jstor.org/sici?sici=0022-1082%28199607%2951%3A3%3C889%3ADRTGNA%3E2.0.CO%3B2-2&origin=repec

4、中国市场中股票间领先-滞后关系的规模与交易量效应

作者：刘煜辉  熊鹏

杂志：世界经济 2004（27）23-30

链接：http://d.wanfangdata.com.cn/Periodical_sjjj200408007.aspx

5、portfolio return autocorrelation

作者：Mech, Timothy S.

杂志：journal of financial economics 1993(34)307-344

链接：http://www.sciencedirect.com/science/article/B6VBX-45GSH3H-1J/2/4434e1281413fc16911dae7dcf22e707