Demand and supply and their relationship to liquidity: Evidence from the S&P 500 change to free float
Document Type
Article
Date of Original Version
1-1-2011
Abstract
In the context of the switch to free-float weighting in the S&P 500 Index, this study of the effect of the availability of shares on liquidity in the medium term found cross-sectional differences in liquidity and price impact measures that gradually narrowed following each phase of the freefloat adjustment. © 2011 CFA Institute.
Publication Title, e.g., Journal
Financial Analysts Journal
Volume
67
Issue
1
Citation/Publisher Attribution
Lam, David, Bing Xuan Lin, and David Michayluk. "Demand and supply and their relationship to liquidity: Evidence from the S&P 500 change to free float." Financial Analysts Journal 67, 1 (2011): 55-71. doi: 10.2469/faj.v67.n1.3.
