Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders

Quantitative Finance

Volumn 15, Issue 5, 2015, Pages 773-793

  Gomes, C ^a   Waelbroeck, H ^a  

^a GAL Manufacturing Company   (United States)

Author keywords

Active fund management; Fair price; Implementation shortfall; Market efficiency; Market impact; Market microstructure; Permanent impact; Sunshine trading

Indexed keywords

EID: 84927176691     PISSN: 14697688     EISSN: 14697696     Source Type: Journal    
DOI: 10.1080/14697688.2014.963140     Document Type: Article

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