>Does anyone have a strategy to deal with this problem??
I imagine someone will suggest simply staying away from $100-500M market cap companies. And maybe that is the only answer.<
Micro- I think you've answered you're own question. I like the small biotechs but when I buy and sell I basically "build in" the inevitable bid/ask pain, sometimes as much as 5%. If I plan on dumping a large position, it has to be something with at least 1/2 mil avg daily volume and over 1 mil is better. A few years ago I rode SIRI up from $3 to $9; sold on a 400+ mil volume day, 25K shares at market, bam, one block, 5 seconds! Try that with some of these small bios.
