Value of information to informed traders equals price-order flow covariance and totals 0.04% of market cap, much less than active management fees.
Illiquidity and Stock Returns: Cross-Section and Time-Series Effects , shorttitle =
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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.