# Slow decay of impact in equity markets: insights from the ANcerno database

## TL;DR

This empirical study analyzes how price impacts from institutional metaorders in US equity markets decay over time, revealing a slow, power-law decay that converges to a persistent impact level over approximately 50 days.

## Contribution

It provides the first large-scale empirical analysis of impact decay using over 8 million metaorders, highlighting the slow, long-lasting nature of impact decay.

## Key findings

- Impact decays to about 2/3 of peak within the same day.
- Decay follows a power-law at short time scales.
- Impact converges to roughly 50% of initial impact over 50 days.

## Abstract

We present an empirical study of price reversion after the executed metaorders. We use a data set with more than 8 million metaorders executed by institutional investors in the US equity market. We show that relaxation takes place as soon as the metaorder ends:{while at the end of the same day it is on average $\approx 2/3$ of the peak impact, the decay continues the next days, following a power-law function at short time scales, and converges to a non-zero asymptotic value at long time scales (${\sim 50}$ days) equal to $\approx 1/2$ of the impact at the end of the first day.} Due to a significant, multiday correlation of the sign of executed metaorders, a careful deconvolution of the \emph{observed} impact must be performed to extract the estimate of the impact decay of isolated metaorders.