2Brennan, M., Chordia, T., Subrahmanyam, A.. alternative factor specifications, security characteristics, and the cross-section of expected stock returns" Journal of financial economics, 1998, (49):345-373. 被引量：1
3Pastor L, Stambaugh R. Liquidity risk and expected stock returns. NBER Working Paper, September, 2001,No.8462. 被引量：1
4Amihud Y. Illiquidity and stock returns: cross-section and time-series effects. Journal of Financial Markets, 2002, (5): 31-56. 被引量：1
5Chordia T., Subrahmanyam A., Anshuman V. R.. Trading Activity and Expected Stock Returns. Journal of Financial Economics,2001, (59): 3-32. 被引量：1
6见 Boulding, Kenneth E. Economic Analysis, 3rd. New York:Harper and Brothers, 1955. 被引量：1
7Amihud, Y., Mendelson, H.. The effects of Beta, bid-ask spread, residual risk and size on stock returns. Journal of Finance,1989, (44): 479-486. 被引量：1
8Schwartz, R. A.. Equity markets: structure, trading and performance. New York, Harper and Row Inc, 1988. 被引量：1
9Lippman, S. A., and Mccall, J. J.. An operational measure of liquidity. The American Economic Review, 1986, (76): 43-55,175-203. 被引量：1
10Black F. Noise. The Journal of Finance, vol. XLI, No. 3,1986, (July): 529-543. 被引量：1
4Chan H. W.,R.W. Faf.f Asset Pricing and the Illiquidity Premium[J]. The Financial Review,2005,(40). 被引量：1
5Jacoby, G., Fowler, D. J,Gottesman, A. The Capital Asset Pricing Model and the Liquidity Effect: a Theoretical Approach[J].Journal of Financial Markets,2000, (3). 被引量：1
6Jacoby,G.,Gottesman,A.,Fowler,D.J.On Asset Pricing and the Bid- Ask Spread[C].SSRN Working Paper, 2001. 被引量：1
7O' Hara,M., Presidential Address: Liquidity and Price Discovery[J]. Journal of Finance, 2003, (58). 被引量：1
8Pastor, L.,R. Stambaugh.Liquidity Risk and Expected Stock Returns [J]. Journal of Political Economy,2003,(111). 被引量：1
