We show that the order submission strategies of liquidity demanders and suppliers change when the observed price dynamics signal that the order book is likely to contain hidden liquidity. We combine the signals of hidden liquidity that can be extracted from the price dynamics with the actual data on hidden liquidity to differentiate between situations in which market participants are likely to expect hidden liquidity from situations in which the presence of hidden liquidity is likely to be a surprise. We estimate a price impact function and the moments of the order flow distributions conditional on the signals about hidden liquidity and use the estimates to calculate the expected surplus to liquidity suppliers. The estimates of the expected surplus show that liquidity suppliers earn the highest surplus when the order book contains hidden liquidity, which has yet to be detected, with the submitters of iceberg orders capturing most of the surplus. But, when the hidden liquidity is detected, the extra surplus is competed away pushing the surplus for liquidity suppliers below the baseline level for order books without hidden liquidity. The higher surplus for order books with hidden liquidity does not come at the expense of liquidity demanders because visible liquidity is greater and the price impact of market orders is smaller for order books with hidden liquidity, be it detected or not. Our evidence suggest that undetected hidden liquidity or situations in which market participants are likely to incorrectly expect hidden liquidity are associated with price reactions and reversals over a 30 trade horizon consistent with hidden liquidity conveying some information.