Please refer to the following articles:
Amihud and Yakov, 2002, Illiquidity and stock returns: cross-section and time-series effects, Journal of Financial Markets, 5, 31–56, http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.145.9505&rep=rep1&type=pdf
Bali, T. G., Cakici, N., and Whitelaw, R. F., 2011, Maxing out: Stocks as lotteries and the cross-section of expected returns, Journal of Financial Economics, 99(2), 427–446 http://www.sciencedirect.com/science/article/pii/S0304405X1000190X
Cook Pine Capital LLC, November 26, 2008, Study of Fat-tail Risk, http://www.cookpinecapital.com/pdf/Study%20of%20Fat-tail%20Risk.pdf
CRSP web site, http://crsp.com/
CRSP user manual, http://www.crsp.com/documentation
George, T.J., and Hwang, C., 2004, The 52-Week High and Momentum Investing, Journal of Finance 54(5), 2145–2176, http://www.bauer.uh.edu/tgeorge/papers/gh4-paper.pdf
Hasbrouck, Joel, 1992, Using the TORQ database, New York University, http://people.stern.nyu.edu...