| PÁSTOR L. Stambaugh R F:Liquidity Risk and Expected Stock Returns[J].Journal of Political Economy,2003,111(3):642-685. |
| 靳云汇, 杨文.上海股市流动性影响因素实证分析[J].金融研究, 2002, 06:12-21. |
| ROLL R.A Simple Implicit Measure of the Effective Bid-ask Spread in an Efficient Market[J].The Journal of Finance,1984,39(4):1127-1139. |
| HASBROUCK J,SCHWARTZ R A.Liquidity and Execution Costs in Equity Markets[J].Journal of Portfolio Management,1988,14(3):10-16. |
| 仲黎明, 刘海龙, 吴冲锋.中国股票市场流动性:过高还是过低——一个国际比较视角的分析[J].当代经济科学, 2003, 25(2):58-61, 94-95. |
| 孙培源, 施东晖.微观结构、流动性与买卖价差:一个基于上海股市的经验研究[J].世界经济, 2002, 4:69-72. |
| 应展宇.中国股票市场流动性研究[J].证券市场导报, 2001, 7:63-68. |
| 王聪, 唐静武.中国股票市场流动性的比较研究[J].南方金融, 2009, 5:40-45. |
| FAMA E F,FRENCH K R.Common Risk Factors in the Returns on Stocks and Bonds[J].Journal of Financial Economics,1993,33(1):3-56. |
| FAMA E F,FRENCH K R.Profitability,Investment and Average Returns[J].Journal of Financial Economics,2006,82(3):491-518. |