| Other1. | Hasbrouck, J.; Seppi, D. J.(2001)。Common Factors in Prices, Order Flows, and Liquidity。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 期刊論文1. | Llorente, G.、Michaely, R.、Saar, G.、Wang, J.(2002)。Dynamic Volume-Return Relation of Individual Stocks。Review of Financial Studies,15(4),1005-1047。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Korajczyk, R. A.、Sadka, R.(2008)。Pricing the Commonality across Alternative Measures of Liquidity。Journal of Financial Economics,87(1),45-72。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Gibson, R.、Mougeot, N.(2004)。The Pricing of Systematic Liquidity Risk: Empirical Evidence from the US Stock Market。Journal of Banking and Finance,28(1),157-178。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | O'Hara, M.(2003)。Presidential Address: Liquidity and Price Discovery。Journal of Finance,58(4),1335-1354。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Financial Economics,17(2),223-249。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Chordia, Tarun、Roll, Richard、Subrahmanyam, Avanidhar(2000)。Commonality in Liquidity。Journal of Financial Economics,56(1),3-28。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 7. | Lee, J. H.、Lin, S. Y.、Lee, W. C.、Tsao, C. Y.(2006)。Common Factors in Liquidity: Evidence from Taiwan's OTC Stock Market。International Review of Financial Analysis,15(4/5),306-327。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 8. | Brennan, Michael J.、Subrahmanyam, Avanidhar(1996)。Market Microstructure and Asset Pricing: On the Compensation for Illiquidity in Stock Returns。Journal of Financial Economics,41(3),441-464。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 9. | 胡星陽(19980400)。流動性對臺灣股票報酬率的影響。中國財務學刊,5(4),1-19。 延伸查詢![new window](/gs32/images/newin.png) | 10. | Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance,55(5),2017-2069。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 11. | Campbell, John Y.、Grossman, Sanford J.、Wang, Jiang(1993)。Trading volume and serial correlation in stock returns。The Quarterly Journal of Economics,108(4),905-939。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 12. | Pástor, Ľuboš、Stambaugh, Robert F.(2003)。Liquidity Risk and Expected Stock Returns。Journal of Political Economy,111(3),642-685。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 13. | Fama, Eugene F.、French, Kenneth R.(1993)。Common risk factors in the returns on stocks and bonds。Journal of Financial Economics,33(1),3-56。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 14. | Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy,81(3),607-636。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 15. | Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross-section and Time-series Effects。Journal of Financial Markets,5(1),31-56。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 16. | Bekaer, G.、Harvey, C. R.、Lundblad, C.(2007)。Liquidity and expected returns: lessons from emerging markets。Review of Financial Studies,20(6),1783-1831。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 其他1. | Chang, C.; Hu, S.(2001)。The Review of the Liquidity Measure。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 2. | Hasbrouck, J.(2005)。Trading Costs and Returns for U.S. Equities: the Evidence from Daily Data。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 3. | Hasbrouck, J.(2006)。Trading Costs and Returns for US Equities: The Evidence from Daily Data。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 4. | Hu, K. W.(2006)。An Empirical Investigation about Liquidity in Taiwan Stock Market-Using Amihud(2002) Liquidity proxy。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 5. | Lin, Y. C.(2009)。The Pricing of Systematic Liquidity Risk:Empirical Evidence from the Taiwan Stock Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | 6. | Martinez, M. A.; Nieto, B.; Rubio, G.; Tapia, M.(2005)。Asset Pricing and Systematic Liquidity Risk: An Empirical Investigation of the Spanish Stock Market。 ![](/gs32/thssjcncl/image/nclsfx.gif) ![new window](/gs32/images/newin.png) | |