Buy-Side Agency Algorithms: Institutional Investor Trades and Market Quality around SEC Filings

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dc.contributor.advisorBalakrishnan, Karthiken_US
dc.contributor.advisorRamesh, Krishnamoorthyen_US
dc.creatorWilson, Daviden_US
dc.date.accessioned2025-05-29T19:33:07Zen_US
dc.date.available2025-05-29T19:33:07Zen_US
dc.date.created2025-05en_US
dc.date.issued2025-04-25en_US
dc.date.submittedMay 2025en_US
dc.date.updated2025-05-29T19:33:07Zen_US
dc.description.abstractIn modern markets, institutional investors employ agency algorithms that strategically subdivide large orders to minimize the price-impact and signaling of their trades. As a consequence, the daily level of institutional market activity has become increasingly difficult to identify. In this paper, I exploit an intraday artifact caused by the repeated order submission of agency algorithms – Clock-Time Periodicity – to quantify their use and illuminate the trading behavior of the institutional investors that employ them. I show that agency algorithms are utilized on a daily basis and account for an average of 3.1% of trade volume. I show that the arrival of historically informative SEC filings increases the volume of institutional trading. Earnings Announcements and Regulation Fair Disclosure filings have the largest impact, with an increase in institutional trade volume of 13.9% and 2.56% respectively. I present evidence supporting two plausible motivations for the increased activity: a) Urgency and b) Liquidity. First, the increase in institutional volume is contrasted by a stark decrease in the number of limit-orders used to achieve it. An indication that agency algorithms not only trade more but do so more aggressively. Second, on filing dates an increase in institutional volume worsens trade conditions with magnitudes that rival the effect of the news itself. Lastly, the increase in the size of institutional trades is overshadowed by an even larger increase in the size of non-institutional trades. This suggests that the trading behavior of non-institutional traders provides a ‘smokescreen’ for agency algorithms to trade more aggressively while remaining stealthy.en_US
dc.format.mimetypeapplication/pdfen_US
dc.identifier.urihttps://hdl.handle.net/1911/118418en_US
dc.language.isoenen_US
dc.subjectAlgorithmic Tradingen_US
dc.subjectInstitutional Investorsen_US
dc.subjectBuy-Sideen_US
dc.subjectMarket Qualityen_US
dc.subjectSEC Filingsen_US
dc.subjectAgency Algorithmsen_US
dc.subjectClock-Time Periodicityen_US
dc.subject10-Ken_US
dc.subject10-Qen_US
dc.subject8-Ken_US
dc.subjectEarnings Announcementsen_US
dc.subjectRegulation Fair Disclosureen_US
dc.titleBuy-Side Agency Algorithms: Institutional Investor Trades and Market Quality around SEC Filingsen_US
dc.typeThesisen_US
dc.type.materialTexten_US
thesis.degree.departmentBusinessen_US
thesis.degree.disciplineAccountingen_US
thesis.degree.grantorRice Universityen_US
thesis.degree.levelDoctoralen_US
thesis.degree.nameDoctor of Philosophyen_US
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