That is not what I see in the data. The 1-minute price impact I mentioned is the same if I look 5 or 30 minutes out, so it looks like it is permanent. This is consistent with the theory discussed in Harris, where on average the trader that sends the marketable order is better informed. But I'm curious about why you think this is the case, maybe you are talking about something I am not measuring. If the market is 3x4 but immediately jumps to 4x6, why would someone put the asks at 5 if they don't want to trade there? Its not like they are guaranteed to get the trade at 6 if someone else wants it at 5.