Albert S. Kyle. ‘Informed Speculation with Imperfect Competition’. The Review of Economic Studies, vol. 56, no. 3, 1989, pp. 317–55, http://www.jstor.org/stable/2297551?pq-origsite=summon.
Cochrane, John H. Asset Pricing. Rev. ed, Princeton University Press, 2005.
COCHRANE, JOHN H. ‘Presidential Address: Discount Rates’. The Journal of Finance, vol. 66, no. 4, Aug. 2011, pp. 1047–108, https://doi.org/10.1111/j.1540-6261.2011.01671.x.
Constantinides, George M., et al. Handbook of the Economics of Finance. Elsevier/North-Holland, 2003.
Danthine, Jean-Pierre, and John B. Donaldson. Intermediate Financial Theory. 2nd ed, vol. Academic Press advanced finance series, Elsevier Academic, 2005, http://ezproxy.library.qmul.ac.uk/login?url=http://www.vlebooks.com/vleweb/product/openreader?id=QMUL&isbn=9780080509020&uid=^u.
Fama, Eugene F., and Kenneth R. French. ‘Common Risk Factors in the Returns on Stocks and Bonds’. Journal of Financial Economics, vol. 33, no. 1, Feb. 1993, pp. 3–56, https://doi.org/10.1016/0304-405X(93)90023-5.
Fama, Eugene F., and Kenneth R. FrencH. ‘Multifactor Explanations of Asset Pricing Anomalies’. The Journal of Finance, vol. 51, no. 1, Mar. 1996, https://doi.org/10.2307/2329302.
Glosten, Larry. ‘Market Microstructure: A Survey of Microfoundations, Empirical Results, and Policy Implications’. Journal of Financial Markets (Amsterdam, Netherlands), no. 2, 2005, pp. 217–64, http://wt3cf4et2l.search.serialssolutions.com/?ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=Market+microstructure%3A+A+survey+of+microfoundations%2C+empirical+results%2C+and+policy+implications&rft.jtitle=Journal+of+Financial+Markets&rft.au=Glosten%2C+Larry&rft.au=Biais%2C+Bruno+R&rft.au=Spatt%2C+Chester&rft.series=Journal+of+Financial+Markets&rft.date=2005&rft.pub=Elsevier&rft.issn=1386-4181&rft.eissn=1878-576X&rft.volume=8&rft.issue=2&rft.spage=217&rft.epage=264&rft.externalDocID=eeefinmar_v_3a8_3ay_3a2005_3ai_3a2_3ap_3a217_264_htm&paramdict=en-UK.
Glosten, Lawrence R., and Paul R. Milgrom. ‘Bid, Ask and Transaction Prices in a Specialist Market with Heterogeneously Informed Traders’. Journal of Financial Economics, vol. 14, no. 1, Mar. 1985, pp. 71–100, https://doi.org/10.1016/0304-405X(85)90044-3.
GROSSMAN, SANFORD. ‘ON THE EFFICIENCY OF COMPETITIVE STOCK-MARKETS WHERE TRADES HAVE DIVERSE INFORMATION’. The Journal of Finance (New York), no. 2, May 1976, http://wt3cf4et2l.search.serialssolutions.com/?ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=ON+THE+EFFICIENCY+OF+COMPETITIVE+STOCK-MARKETS+WHERE+TRADES+HAVE+DIVERSE+INFORMATION&rft.jtitle=The+Journal+of+Finance&rft.au=GROSSMAN%2C+SANFORD&rft.date=1976-05-01&rft.pub=Blackwell+Publishers+Inc&rft.issn=0022-1082&rft.eissn=1540-6261&rft.volume=31&rft.issue=2&rft.spage=573&rft.externalDocID=1164813&paramdict=en-UK.
Grossman, Sanford J. ‘On the Impossibility of Informationally Efficient Markets’. The American Economic Review, no. 3, June 1980, http://wt3cf4et2l.search.serialssolutions.com/?ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=On+the+Impossibility+of+Informationally+Efficient+Markets&rft.jtitle=The+American+Economic+Review&rft.au=Grossman%2C+Sanford+J&rft.au=Stiglitz%2C+Joseph+E&rft.date=1980-06-01&rft.pub=American+Economic+Association&rft.issn=0002-8282&rft.eissn=1944-7981&rft.volume=70&rft.issue=3&rft.spage=393&rft.externalDocID=936347&paramdict=en-UK.
Hellwig, Martin F. ‘On the Aggregation of Information in Competitive Markets’. Journal of Economic Theory, vol. 22, no. 3, June 1980, pp. 477–98, https://doi.org/10.1016/0022-0531(80)90056-3.
Information and Learning in Markets: The Impact of Market Microstructure - Library Discovery. http://qmul.summon.serialssolutions.com/search?utf8=%E2%9C%93&s.q=Cochrane,+J.H.,+(2005).+Asset+Pricing,#!/search/document?ho=t&l=en-UK&q=Information%20and%20learning%20in%20markets:%20the%20impact%20of%20market%20microstructure&id=FETCHMERGED-scopus_primary_2551014692.
John Y. Campbell. ‘Asset Pricing at the Millennium’. The Journal of Finance, vol. 55, no. 4, 2000, pp. 1515–67, http://www.jstor.org/stable/222372?pq-origsite=summon.
Kyle, Albert S. ‘Continuous Auctions and Insider Trading’. Econometrica, vol. 53, no. 6, Nov. 1985, https://doi.org/10.2307/1913210.
Lawrence R. Glosten. ‘Insider Trading, Liquidity, and the Role of the Monopolist Specialist’. The Journal of Business, vol. 62, no. 2, 1989, pp. 211–35, http://www.jstor.org/stable/2353227?pq-origsite=summon&seq=1#page_scan_tab_contents.
Martin, Ian. ‘What Is the Expected Return on the Market?’ The Quarterly Journal of Economics, no. 1, Feb. 2017, http://wt3cf4et2l.search.serialssolutions.com/?ctx_ver=Z39.88-2004&ctx_enc=info%3Aofi%2Fenc%3AUTF-8&rfr_id=info%3Asid%2Fsummon.serialssolutions.com&rft_val_fmt=info%3Aofi%2Ffmt%3Akev%3Amtx%3Ajournal&rft.genre=article&rft.atitle=What+is+the+expected+return+on+the+market%3F&rft.jtitle=Quarterly+Journal+of+Economics&rft.au=Martin%2C+Ian&rft.date=2017-02-01&rft.pub=Oxford+University+Press&rft.issn=0033-5533&rft.eissn=1531-4650&rft.volume=132&rft.issue=1&rft.spage=367&rft.externalDBID=BKMMT&rft.externalDocID=486142858&paramdict=en-UK.
Pennacchi, George Gaetano. Theory of Asset Pricing. Addison-Wesley, 2007, http://www.loc.gov/catdir/toc/ecip076/2006039325.html.