The arrival of a public signal worsens the adverse selection problem if informed investors are risk averse. Precisely, the public signal reduces uncertainty which boosts informed investors’ participation leading to a more toxic order flow. I confirm the model’s empirical predictions by estimating the effect of the publication of the weekly change in oil inventories on liquidity via a difference-in-differences strategy. The bid-ask spread of stocks related to oil doubles after the release and their volume increases by 32% regardless of the report’s surprise. Further, consistent with the model, implied volatility drops and insider’s trading increases after the report’s publication.