How Investor Structure Influences the Yield, Information Dissemination Efficiency, and Liquidity

Table 1

Absolute yields under VPIN conditions when the proportion of informed investors is 1/6.

	0.0015	0.003	0.0045	0.006	0.0075	0.009	0.0105	>0.0105
0.00011	68.00%	24.00%	6.00%	0.00%	2.00%	0.00%	0.00%	0.00%
0.00488	40.00%	30.00%	18.00%	8.00%	4.00%	0.00%	0.00%	0.00%
0.10538	50.00%	28.00%	12.00%	4.00%	4.00%	2.00%	0.00%	0.00%
0.17095	46.00%	34.00%	10.00%	2.00%	8.00%	0.00%	0.00%	0.00%
0.29997	50.00%	24.00%	12.00%	2.00%	4.00%	2.00%	0.00%	6.00%
0.43789	50.00%	26.00%	4.00%	4.00%	10.00%	2.00%	0.00%	4.00%
0.5009	48.00%	16.00%	14.00%	6.00%	6.00%	0.00%	0.00%	10.00%
0.55039	42.00%	30.00%	12.00%	4.00%	4.00%	2.00%	0.00%	6.00%
0.58429	55.50%	20.67%	9.83%	5.33%	2.67%	1.17%	1.33%	3.50%
0.61272	55.82%	20.73%	9.64%	5.45%	2.55%	1.27%	1.27%	3.27%
0.64318	55.40%	20.80%	9.60%	5.20%	2.60%	1.40%	1.40%	3.60%
0.67021	56.67%	19.33%	9.78%	5.11%	2.89%	1.33%	1.33%	3.56%
0.69265	57.25%	19.25%	10.00%	5.00%	2.75%	1.00%	1.25%	3.50%
0.71589	56.57%	18.86%	11.14%	5.71%	2.29%	0.86%	1.43%	3.14%
0.73141	55.67%	19.33%	11.67%	5.67%	2.33%	0.67%	1.33%	3.33%
0.74439	54.80%	19.60%	11.20%	5.60%	2.40%	0.80%	1.60%	4.00%
0.75569	54.50%	19.00%	11.50%	6.50%	2.00%	1.00%	1.00%	4.50%
0.76385	51.33%	20.67%	11.33%	6.67%	2.67%	0.67%	0.67%	6.00%
0.77579	53.00%	24.00%	8.00%	8.00%	1.00%	1.00%	0.00%	5.00%
0.79111	48.00%	28.00%	10.00%	8.00%	0.00%	2.00%	0.00%	4.00%