ISS Discusses Liquidity Behavior in the S&P 500

As a large cap index all the constituents of the S&P 500 are highly liquid. This is certainly true compared to mid-cap or small cap stocks. There are, though, high, and low rent districts within the S&P and the most liquidity is concentrated in a few stocks with the largest market capitalizations. We treat large-cap stocks differently than mid-caps when thinking about trading strategies largely because of their different liquidity profiles. Should we consider making similar distinctions within the S&P 500 itself?  Understanding variations in the liquidity characteristics of different S&P 500 stocks can help determine the optimal participation rate … Read more