Institutional granular impact is benign on asset sales and price efficiency
研究构建了两种机构交易冲击，发现共同冲击对股价的影响在卖出时比买入时更强，而粒度冲击的影响则对称，且价格影响在短期持续并在六个月后部分反转，表明市场对机构交易反应不足。
We construct two types of trading shocks and examine their effects on stock prices. Common shocks capture the shared trading activity across funds, whereas granular idiosyncratic shocks place emphasis on large players. Common shocks related to stock sales exhibit a significantly stronger price impact than those related to purchases, in contrast to symmetric effects of purchases and sales for granular idiosyncratic shocks. The initial price impact persists in the short run and partially reverses after six months, suggesting underreaction to institutional trading. Our results underscore the impact of the common component across various funds on asset prices and market efficiency.