Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
and Grossman, Sanford J
1 Pith paper cite this work. Polarity classification is still indexing.
1
Pith paper citing it
fields
q-fin.GN 1years
2026 1verdicts
UNVERDICTED 1representative citing papers
citing papers explorer
-
The Value of Information: A Puzzle
Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.