1、Market microstructure and asset pricing: On the compensation for illiquidity in stock returns

作者：Brennan, Michael J. Subrahmanyam, Avanidhar

杂志：Journal of Financial Economics 1996（41）p 441–464

连接：http://www.sciencedirect.com/science/article/B6VBX-3VVVRX5-9/2/fcbbd4902040c1aca905dbb672bc3c5e

2、Alternative factor specifications, security characteristics, and the cross-section of expected stock returns.

作者：Brennan, Michael J., Chordia, Tarun, Subrahmanyam, Avanidhar

杂志：Journal of Financial Economics 1998（49）, 345-373.

连接：http://www.sciencedirect.com/science/article/B6VBX-408CBS1-3/2/bc2dabc6531c6f2847145d194230e85d

3、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

[此贴子已经被作者于2009-5-30 18:34:54编辑过]