This paper investigates which component of price impact plays a main role for asset pricing. To find a main component, we decompose the price impacts measured by turnover-version Amihud illiquidity into the permanent and transitory price impacts. We then further decompose each of these price impacts into half-price impact measures that correspond 1) positive and negative return days, and 2) good and bad news days. We find that, among the eight decomposed half-price impact measures, the “transitory half-price impact associated with bad news days” is the main component of the turnover-version Amihud illiquidity measure. Based on this finding, we suggest a new price impact measure, “Net price impact”, defined as the average net ratio of the daily transitory deviation to share turnover. With this suggested measure, we find that the price impact measure that takes into account the investors’ asymmetric response to not only the good and bad news days but also the asymmetric effect of transitory deviation associated with the news is better in explaining future stock returns.