2Campbell, John Y. and Martin Lettau, Dispersion and Volatility in Stock Returns: An Empirical Investigation. NBER working paper, No.7144,1999.
3Chan, Kalok and Allaudeen Hameed, Stock Price Synchronicity and Analyst Coverage in Emerging Markets. Hong Kong University of Science and Technology working paper, January,2005.
4Durnev, Art, Randall Morck, and Bernard Yeung, Value Enhancing Capital Budgeting and Firm-specific Stock Return Variation. Journal of Finance, 59,2004, pp. 65-105.
5Li Jin and Stewart C. Myers, R2 around the World: New Theory and New Tests. Journal of Financial Economics,2005.
6Morck, Randall, Bernard Yeung, and Wayne Yu, The Information Content of Stock Markets: Why Do Emerging Markets Have Synchronous Stock Price Movements? Journal of Financial Economics,59,2000,pp. 215-260.
7Qi Chen, Itay Goldstein and Wei Jiang, Price Informativeness and Investment Sensitivity to Stock Price. SSRN working paper, 2005.
8Roll, Richard,R2. Journal of Finance,43,1988, pp.541-566.
