Yan-Qi Jia

Quantitative Strategies and Liquidity Stress across Financial Crises: Evidence from U.S. Equities

To reconstruct the monthly S&P 500 membership from 2007 to 2025, this paper employs public records. This work is trying to minimize universe look-ahead bias of a sample limited to the constituents of a universe. The membership snapshot at the end of each month is used for the construction of the portfolio. It is not ne...