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

David Lam, Bing-Xuan Lin and David Michayluk ()
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David Lam: Perpetual Private Wealth, Sydney
Bing-Xuan Lin: University of Rhode Island

Published Paper Series from Finance Discipline Group, UTS Business School, University of Technology, Sydney

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 free-float adjustment.

Pages: 17 pages
Date: 2011-01-01
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Citations: View citations in EconPapers (6)

Published as: Lam, D., Lin, B. and Michayluk, D., 2011, "Demand and Supply and Their Relationship to Liquidity: Evidence from the S&P 500 Change to Free Float", Financial Analysts Journal, 67(1), 55-71.

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