4Cooper, M., Gutierrez R., and Hameed A., 2004,"Market States and Momentum," Journal of Finance, 59, 1345-1365.
5Daniel, Kent, and Sheridan Titman, 1997, "Evidence on the Characteristics of Cross Sectional Variation in Stock Returns," Journal of Finance, 52, 1-33.
6Fama, Eugene F., and Kenneth R. French., 1993, "Common risk factors in the returas on stocks and bonds," Journal of Hinancial Economics, 33, 3-56.
7Fama, E.F., MacBeth, J.D., 1973, "Risk, return, and equilibrium: Empirical tests,"Journal of Political Economy , 81, 607-636.
8Hasbrouck, J., 2002, "Inferring trading costs from daily data: US equities from 1962 to 2001 ,"Unpublished working paper, New York University.
9Holmstrom, B., Tirole, J., 2000,"LAPM: a liquidity-based asset pricing model,"Journal of Finance ,56, 1837-1867.
10Jones, C.M., 2001 ,A century of stock market liquidity and trading costs, Graduate School of Business, Columbia University.