This paper examines the role of high-frequency traders (HFTs) in price discovery and price efficiency using transaction-level data from NASDAQ for 120 stocks traded between 2008 and 2009. The study finds that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on high-volatility days. HFTs' liquidity-demanding orders are correlated with public information, such as macroeconomic news and market-wide price movements. In contrast, HFTs' liquidity-supplying orders are adversely selected. The findings suggest that HFTs provide a useful service to markets by reducing noise and incorporating different types of information, making prices more efficient. However, the media coverage of HFTs and the "flash crash" in 2010 has raised concerns about market fairness and stability. The paper discusses the implications of these findings for policymakers considering measures to curb HFT activities.This paper examines the role of high-frequency traders (HFTs) in price discovery and price efficiency using transaction-level data from NASDAQ for 120 stocks traded between 2008 and 2009. The study finds that HFTs facilitate price efficiency by trading in the direction of permanent price changes and in the opposite direction of transitory pricing errors, both on average and on high-volatility days. HFTs' liquidity-demanding orders are correlated with public information, such as macroeconomic news and market-wide price movements. In contrast, HFTs' liquidity-supplying orders are adversely selected. The findings suggest that HFTs provide a useful service to markets by reducing noise and incorporating different types of information, making prices more efficient. However, the media coverage of HFTs and the "flash crash" in 2010 has raised concerns about market fairness and stability. The paper discusses the implications of these findings for policymakers considering measures to curb HFT activities.