期刊論文| 1. | Stoll, Hans R.、Ho, Thomas S. Y.(1981)。Optimal Dealer Pricing under Transactions and Return Uncertainty。Journal of Financial Economics，9(1)，47-73。   |
| 2. | Karolyi, G. Andrew、Lee, Kuan-Hui、van Dijk, Mathijs A.(2012)。Understanding commonality in liquidity around the world。Journal of Financial Economics，105(1)，82-112。 |
| 3. | Lee, Kuan-Hui(2011)。The World Price of Liquidity Risk。Journal of Financial Economics，99(1)，136-161。 |
| 4. | Amihud, Yakov、Mendelson, Haim(1980)。Dealership Market: Market-making with Inventory。Journal of Financial Economics，8(1)，31-53。 |
| 5. | Ang, A.、Hodrick, R. J.、Xing, Y.、Zhang, X.(2009)。High Idiosyncratic Volatility and Low Returns: International and Further U.S. Evidence。Journal of Financial Economics，91(1)，1-23。 |
| 6. | Amihud, Y.、Mendelson, H.(1986)。Asset pricing and the bid-ask spread。Journal of Finance Economics，17(2)，223-249。 |
| 7. | Griffin, John M.、Kelly, Patrick J.、Nardari, Federico(2010)。Do market efficiency measures yield correct inferences? A comparison of developed and emerging markets。Review of Financial Studies，23(8)，3225-3277。 |
| 8. | Stoll, Hans R.(1978)。The Supply of Dealer Services in Securities Markets。Journal of Finance，33(4)，1133-1151。 |
| 9. | Goyenko, R. Y.、Holden, C. W.、Trzcinka, C. A.(2009)。Do liquidity measures measure liquidity?。Journal of Financial Economics，92(2)，153-181。 |
| 10. | 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。 |
| 11. | Amihud, Yakov、Hameed, Allaudeen、Kang, Wenjin、Zhang, Huiping(2015)。The illiquidity premium: International evidence。Journal of Financial Economics，117(2)，350-368。 |
| 12. | Amihud, Y.、Mendelson, H.、Pedersen, L. H.(2006)。Liquidity and asset prices。Foundations and Trends in Finance，1(4)，269-364。 |
| 13. | Asparouhova, E.、Bessembinder, H.、Kalcheva, I.(2010)。Liquidity biases in asset pricing tests。Journal of Financial Economics，96(2)，215-237。 |
| 14. | Asparouhova, E.、Bessembinder, H.、Kalcheva, I.(2013)。Noisy prices and inference regarding returns。Journal of Finance，68(2)，665-714。 |
| 15. | Fong, K. Y. L.、Holden, C. W.、Trzcinka, C. A.(2017)。What are the best liquidity proxies for global research?。Review of Finance，21(4)，1355-1401。 |
| 16. | Hasbrouck, J.(2009)。Trading costs and returns for US equities: Estimating effective costs from daily data。Journal of Finance，64(3)，1445-1477。 |
| 17. | Ince, Ozgur S.、Porter, R. Burt(2006)。Individual equity return data from Thomson Datastream: Handle with care!。Journal of Financial Research，29(4)，463-479。 |
| 18. | Copeland, Thomas E.、Galai, Dan(1983)。Information Effects on the Bid-ask Spread。The Journal of Finance，38(5)，1457-1469。 |
| 19. | Glosten, Lawrence R.、Milgrom, Paul R.(1985)。Bid, ask and transaction prices in a specialist market with heterogeneously informed traders。Journal of Financial Economics，14(1)，71-100。 |
| 20. | 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。 |
| 21. | Fama, Eugene F.、MacBeth, James D.(1973)。Risk, Return, and Equilibrium: Empirical Tests。Journal of Political Economy，81(3)，607-636。 |
| 22. | Amihud, Yakov(2002)。Illiquidity and Stock Returns: Cross-section and Time-series Effects。Journal of Financial Markets，5(1)，31-56。 |
| 23. | Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance，48(1)，65-91。 |
| 24. | Kyle, Albert S.(1985)。Continuous auctions and insider trading。Econometrica，53(6)，1315-1335。 |