So what orders do informed traders use?

We analyze informed traders' equilibrium choice of limit or market orders. We show that even after incorporating an order's price impact, not only may informed traders prefer to use limit orders, but also the probability of submitting limit orders can be so high that in equilibrium limit orders convey more information than market orders. We further show that the horizon of the private information is critical for this choice and is positively related to the probability of using limit orders. Our empirical analysis suggests that informed traders do prefer to use limit orders and that limit orders are indeed more informative.