The BVC Liquidity Lab - 81 BVC names, 0.83M MAD median ADV, 57 days median exit for MAD 5m at 10% ADV, 58% first PC of log Amihud

The BVC Liquidity Lab

The BVC is thin. Median ADV is 0.83M MAD; the median stock needs 57 days to exit a MAD 5m position at 10% of ADV. Even ATW needs 1.3 days. 84% of names are red-flagged, 68% have a variance ratio below one, 87% show ARCH effects, and the first principal component of log Amihud explains 58% of liquidity variation. A daily-data liquidity audit, with the limits stated.

EN · October 18, 2026 · Yirviel Somé