1[1]Demsetz, 1968, The cost of transacting, Quarterly Journal of Economics, 82, 33 ~ 53.
2[2]H.R.Stoll, 2000, Friction, Journal of Finance, Vol. 4, 1479~ 1513.
3[3]Bagehot, 1971, The only game in town, Financial Analysts Jowrnnl, 27, 31 ~ 53.
4Beaver W,Landsman W R. Note on the behavior of residual security returns for winner and loser portfolio[J]. Journal of Accounting & Economics, 1981,3 : 233-241.
5Conrad J S,Gultekin M,Kaul G. Profitability of short-term contrarian strategies:implications for market efficiency[J]. Journal of Business and Economic Statistics, 1997,15: 386-397.
6DeBondt W F M,Thaler R. Does the stock market overreact?[J]. Journal of Finance, 1985,40:793-805.
7De Long J B, Shleifer A, Summers L H, Waldmann R J. Positive feedback investment strategies and destabilizing rational speculation [J]. The Journal of Finance, 1990,45 : 375-395.
8Grinblatt M,Titman S,Wermers R. Momentum investment strategies, portfolio performance and herding:a study of mutual fund behavior[J]. American Economic Review, 1995,85 :1088-1105.
9Jegadeesh N,Titman S. Returns to buying winners and selling losers:implications for stock market efficiency[J]. The Journal of Finance, 1993,48 : 65-91.
10Jegadeesh N, Titman S. Profitability of momentum strategies:an evaluation of alternative explanations[J]. The Journal of Finance, 2001,56 : 699 - 720.