SmicroCaps

Equities are considered to be one of the most liquid asset classes for investors.  Digital trading has certainly boosted this liquidity, but it is not constant across the market capitalization spectrum.  While the best ideas and opportunities to exploit market inefficiencies lie in the small and micro cap space, these stocks tend to have thinner order books.  Even individual investors can feel market impact when purchasing these stocks.  Many institutional investors either pass on these opportunities entirely or accept immeasurable price movements from purchases or sales.

Absolute Spreads - Before decimalization, spreads of small (black line, first decile) and large cap stocks (green line, last decile) were quite similar.  In 2000, the decimalization transition began and, while spreads fell in both large and small caps, small caps fell less on an absolute basis and a gap can be seen.  This gap can be even larger for smaller, illiquid micro cap stocks.		Relative Spreads - The liquidity discrepancy between small and large cap stocks can be easily demonstrated using proportional spreads to trading prices.  Notice the difference in scale between small caps (green line, left axis, first decile) and large caps (blue line, right axis, last decile).  Proportional spreads are twenty times larger and have declined less on a relative basis over the past twenty years.
Source: Federal Reserve Bank of New York, The Joint Dynamics of Liquidity, Returns, and Volatility across Small and Large Firms

SmicroCaps proprietary liquidity analytics platform can help investors of all sizes navigate the choppy waters of less liquid equities.  Through extensive pattern analysis of both trades and order book movements, our clients can minimize market impact and develop efficient execution strategies for position changes.

Basic

Several Ad supported, limited variability liquidity analytics charts and data tables are available for companies in our research coverage universe.  

Client Subscriptions

SmicroCaps offers a larger set of dynamic, customizable charts and data sources to our subscribing clients.  Our focus is to continuously develop new liquidity analytics offerings to drive value for the end user and we encourage clients to contact us with any and all liquidity and price impact issues that they are facing in the marketplace.

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