Title:

Is Market Impact a Measure of the Information Value of Trades? Market Response to Liquidity vs. Informed Metaorders

Authors:

Carla Gomes (Portware, LLC)
Henri Waelbroeck (Portware, LLC)

Journal:

Quantitative Finance

Year:

2015

Volume:

15

Number:

5

Pages:

773-793

JEL codes:

G11 - Portfolio Choice; Investment Decisions
D83 - Search; Learning; Information and Knowledge; Communication; Belief
G12 - Asset Pricing; Trading volume; Bond Interest Rates
G14 - Information and Market Efficiency; Event Studies