Aurora Borealis
1 January 2011 Financial Analysts Journal Volume 67, Issue 1

Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float

  1. David Lam
  2. Bing-Xuan Lin
  3. David Michayluk

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 free-float adjustment.

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Publisher Information
CFA Institute 17 pages doi.org/10.2469/faj.v67.n1.3 ISSN/ISBN: 0015-198X

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