Institutional price impact is affected by market liquidity, market architecture, and informational timing. A plot of buy (sell) price impact versus market return results in an upward (downward) sloping line. The sell impact slope in times of bad news is steeper than the buy impact slope in times of good news at both the market and firm level, which provides evidence that factors such as short-sale constraints and the timing of good/bad news announcements affect price impact. Furthermore, NASDAQ securities offer institutional traders a lower cost option than NYSE securities for those looking to buy (sell) shares in a rising (falling) market.
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