Abstract
This paper examines how the value of information is related to the use of market orders by informed investors. We address this question by using a unique transaction-level data set that shows if, for a given transaction, an institutional investor used a market order or served as a liquidity provider. By combining this data with a data set on scheduled and non-scheduled company announcements, we examine how institutional investors use market versus limit orders when information value is high or low. With scheduled announcements, we find evidence that informed investors tend to use less market orders when the value of information is low, and more market orders when the value of information is high. However, we do not find statistically significant results regarding non-scheduled announcements, which can indicate that investors do not process information on non-scheduled versus scheduled announcements in the same way or that the contents of non-scheduled announcements in our sample are less important compared to scheduled ones.
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