In modern public equity markets, liquidity is provided by a heterogeneous set of traders with vastly different speeds. We study the consequences of information arrival in such a setting. We present a model that predicts faster traders achieve a relative increase in profits obtained from liquidity provision following information events through (i) avoiding adverse selection by canceling mispriced quotes, and (ii) winning the race to post updated quotes. We also find strong support for these model predictions using data from the Toronto Stock Exchange. The identification strategy is based on an unanticipated “fake news” event in which the Twitter feed of the Associated Press falsely reported a terrorist attack.

在现代公共股票市场中，流动性是由一组速度迥异的异质交易者提供的。我们研究了在这种情况下信息到达的后果。我们提出了一个模型，该模型预测更快的交易者通过（i）通过取消错误定价的报价来避免逆向选择，以及（ii）赢得发布更新报价的竞赛，从而在信息事件后实现从流动性提供中获得的利润的相对增加。我们还使用多伦多证券交易所的数据为这些模型预测提供了强有力的支持。识别策略基于意料之外的“假新闻”事件，在该事件中，美联社的 Twitter 提要错误地报道了恐怖袭击事件。