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

Publisher:
Assoc Investment Management Research AIMR
Publication Type:
Journal Article
Citation:
Financial Analysts Journal, 2011, 67 (1), pp. 55 - 71
Issue Date:
2011-01
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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.
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