Price Impact Asymmetry of Block Trades: An Institutional Trading Explanation
构建理论模型解释买方与卖方发起的大宗交易在永久价格冲击上的不对称性（买方冲击更大），并指出股价历史表现、机构交易强度和信息事件频率如何影响这种不对称。
This article develops a theoretical model to explain the permanent price impact asymmetry between buyer- and seller-initiated block trades (the permanent price impact of buys is larger than that of sells). The model shows how the trading strategy of institutional portfolio managers creates a difference between the information content of buys and sells. The main implication of the model is that the history of price performance influences the asymmetry: the longer the run-up in a stock's price, the less the asymmetry. The intensity of institutional trading and the frequency of information events affect the asymmetry differently depending on recent price performance.