Is market impact a measure of the information value of trades? Market response to liquidity vs. informed metaorders
研究了机构交易数据，发现现金流驱动的交易（无信息含量）与知情交易的市场冲击在执行阶段相似，但结束后价格回复程度不同：现金流交易价格几乎完全回复，而知情交易仅回复约三分之一，表明市场冲击中的永久部分主要反映信息。
We examine a data-set of institutional trades where approximately one-fourth of the trades were labelled as having been created for cash flow purposes. We aggregate near-overlapping trades into metaorders and consider information, market impact and metaorder size. We find that during the execution, the functional form and scale of market impact are similar for cash flows and other metaorders. Differences arise in the price reversion following the end of a metaorder. For cash flows, presumed to have no true information content, the impact reverts almost completely on average in two to five days. For other metaorders, we find that reversion erases about one-third of the peak impact: for each size, price reverts to the average execution price, leaving no immediate profits after accounting for trading costs. Observed mark-to-market profits on metaorders that aggregate multiple portfolio manager orders, new metaorders and Nasdaq-listed stocks suggest that these metaorders are more informed than the average. Vice-versa, we find mark-to-market losses are more likely to occur on cash flows, metaorders in large-cap stocks, metaorders that follow momentum and additions to a prior position seeking to take advantage of an improved price. The complete price reversion for cash flows suggests that the mechanical permanent impact that is considered in no-quasi-arbitrage arguments would be much smaller than the information in typical institutional metaorders.