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March 16, 2026Annals of FinanceOpen Access

The value of information flows in the stock market

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Authors

HDHải Bùi DươngBTBart Taub

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Overview

This analysis estimates the total value of information flows in the stock market, suggesting market dynamics impact investments.

Key Points

  • The research aims to quantify the flow and value of information in the stock market and its effects on price allocation.
  • Analyzed millions of stock orders, including cancelled and executed trades.
  • Constructed a dynamic limit order book to assess information flow.
  • Estimated the total value of information across all stocks in the market.
  • Calculated the total value of dynamic information flow in the stock market.
  • Found that price impacts are correlated with the capital asset pricing model.
  • Identified a systematic component of price impact driven by market volatility.

Cite This Study

Dương et al. (2026) studied this question.

synapsesocial.com/papers/69b79e7c8166e15b153abd0chttps://doi.org/10.1007/s10436-026-00479-y
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