Acharya, V. V.; L.H. Pedersen (2005). Asset Pricing and Liquidity Risk. - Journal of Financial Economics, Vol. LXXVII, N 2, August.
Amihud, Y. (2002). Illiquidity and Stock Returns: Cross-section and Time-series Effects. - Journal of Financial Markets, Vol. V, N 1, January.
Ball, R. (1978). Anomalies in Relationships between Securities Yields and Yield-surrogates. - Journal of Financial Economics, Vol. VI, N 2-3.
Banz, R. W. (1981). The Relationship between Return and Market Value of Common Stocks. - Journal of Financial Economics, Vol. III, N 18, September.
Basu, S. (1983). The Relationship between Earnings Yield, Market Value and Return for NYSE Common Stocks: Further Evidence. – Jurnal of Financial Economics, Vol. XII, N 1, June.
Bhandari, L. C. (1988). Debt/Equity Ratio and Expected Common Stock Returns: Empirical Evidence. - The Journal of Finance, Vol. XLIII, N 2, June.
Black, F., M. C. Jensen, M. S Scholes (1972). The Capital Asset Pricing Model: Some Empirical Tests. – In: Jensen, M. S. (ed.). Studies in the Theory of Capital Markets. New York: Praeger.
Bodie, Z., A. Kane, A. J. Marcus (2008). Investments (Eight ed.). New York: McGraw Hill.
Campbell, J. Y., A. W. Lo, A. C. MacKinlay (1997). The Econometrics of Financial Markets. Princeton University Press.
Chan, K. C., Nai-Fu Chen (1991). Structural and Return Characteristics of Small and Large Firms. - The Journal of Finance, Vol. XLVI, N 4, September.
Cocharane, J. H. (2005 ). Asset Pricing (Revised ed.). Princeton University Press.
DeBondt, W. F. M., R. Thaler (1985). Does the Stock market Overreact? - The Journal of Finance, Vol. XL, N 3, July.
DeLong, B. J., A. Shleifer, S. H. Lawrence, R. J. Waldmann (1990). Noise Trader Risk in Financial Markets. - The Journal of Political Economy, Vol. XCVIII, N 4, August.
Fama, E. F. (1996). Multifactor Portfolio Efficiency and Multifactor Asset Pricing. - Journal of Financial and Quantitative Analysis, Vol. 31, N 4, December.
Ibbotson, R. G., Z. Chen, D. Y.-J. Kim, W. Y. Hu (2013). Liquidity as an Investment Style. - Financial Analysts Journal, Vol. 69, N 3, May/June
Ilmanen, A. (2011). Expected Returns – An Investor’s Guide to Harvesting Market Rewards. Wiley Finance.
Jegadeesh, N., Sh. Titman (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. - The Journal of Finance, Vol. XLVIII, N 1, March.
Lintner, J. (1965). The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets. - The Review of Economics and Statistics, Vol. XLVII, N 1, February.
Lo, A. W., A. C. MacKinlay (1990). When are Contrarian Profits Due to Stock Market Overreaction? - The Review of Financial Studies, Vol. III, N 2.
Markowitz, H. (1952). Portfolio Selection. - The Journal of Finance, Vol. VII, N 1, March.
Merton, R. C. (1973). An Intertemporal Capital Asset Pricing Model. - Econometrica, Vol. 41, N 5, September.
Pastor, L., R. F. Stambaugh (2003). Liquidity Risk and Expected Stock Returns. - Journal of Political Economy, Vol. 111, N 3.
Rosenberg, B., K. Reid, R. Lanstein (1985). Persuasive evidence of market inefficiency. - The Journal of Portfolio Management, Vol. XI, N 3.
Ross, S. A. (1976). The Arbitrage Theory of Capital Asset Pricing. - Journal of Economic Theory, Vol. XIII, N 3, May.
Sharpe, W. F. (1964). Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk. - The Journal of Finance, Vol. XIX, N 3, September.
Sharpe, W. F., G. J. Alexander, J. V. Bailey (1995). Investments (Fifth ed.). Prentice Hall.
Shiller, R. J. (1981). Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? - The American Economic Review, Vol. 71, N 3, June.
Stattman, D. W. (1980). Book Values and Stock Returns. - The Chicago MBA: A Journal of Selected Papers, Vol. 4.
Fama, E. F., K. R. French (1996). Multifactor Explanations of Asset Pricing Anomalies. - The Journal of Finance, Vol. LI, N 1, March.
Fama, E. F., K. R. French (1992). The Cross-Section of Expected Stock Returns. - The Journal of Finance, Vol. XLVII, N 2, June.
