Do prices reveal the presence of informed trading?
---- Acknowledgements ----
We thank Azi Ben-Rephael, Terry Hendershott, Gur Huberman,Wei Jiang, Norman Schuerhoff, and seminar participants at the University of Illinois at Urbana-Champaign, Copenhagen Business School, Tsinghua University, IDC Summer Conference, and, especially, Yakov Amihud and Larry Glosten for many helpful comments. We also thank Virginia Jiang, Xinran Li, Urvi Maru, Hana Na, Shan Qiao, Sofiya Teplitskaya, and Tong Tong for excellent research assistance. The views expressed herein are those of the authors and do not necessarily reflect the views of the National Bureau of Economic Research.