3Hasbrouck J. Measuring the information content of stock trades[J]. Journal of Finance, 1991,46(1) : 179 -207.
4Fama E F, French K R. The cross-section of expected stock returns[J]. Journal of Finance, 1992,47(2):427-465.
5Banz R W. The relationship between return and market value of common stocks [J]. Journal of Financial Economics, 19 81,9 ( 1 ) : 3 - 18.
6Basu S. The relationship between earnings' yield, market value and return for NYSE common stocks: Further evidence[J]. Journal of Financial Economicis,1983,12 (1) : 129- 156.
7Rosenberg B, et al. Persuasive evidence of market inefficiency[J]. Journal of Portfolio Management, 1985,11(3) :9-17.
8Chan L K C, et al. Fundamentals and stock returns in Japan[J]. Journal of Finance,1991,46(5):1739- 1764.
9Amihud Y, Mendelson H. Asset pricing and the bidask spread[J]. Journal of Financial Economics, 1986, 17(2):223-249.
10Datar V T, Naik N Y, Radcliffe R. Liquidity and stock returns: An alternative test [J]. Journal of Financial Markets, 1998,1 (2) : 203-219.
