1、The Cross-Autocorrelation of Size-based Portfolio  Returns is Not an Artifact of Portfolio Autocorrelation  

作者:Terry Richardson  David R. Peterson  

杂志：Journal of Financial Research 1999(22), 1--13  

链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=127108 

2、The effect of size and turnover volume on cross-autocorrelation of equity returns 

作者：Desai, A. S., Tavakkol, A.,  

杂志：Working Paper, Kansas State University. 

链接：http://papers.ssrn.com/sol3/papers.cfm?abstract_id=534563

 谢谢！！