The index is built to include the largest and most liquid stocks in a portfolio that mimics the output of the American economy. (thecollegeinvestor.com)
My view is that with high frequency trading, managers must adopt tactics, particularly on less liquid stocks, that we become invisible liquidity providers. (alephblog.com)
From a portfolio perspective, controlling for profitability was shown to dramatically increase the performance of value strategies, especially among the largest, most liquid stocks in the market. (ifa.com)