Strategic Behaviour And Underpricing in Uniform Price Auctions : Evidence From Finnish Treasury Auctions  

Oleh:

Rydqvist, Kristian ; Keloharju, Matti ; Nyborg, Kjell G.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 60 no. 4 (Aug. 2005), page 1865-1902.
Topik: STRATEGIC; studies; economic models; autctions; bids; government securities; regression analysis; volatility
Fulltext: p 1865.pdf (300.64KB)

Ketersediaan

Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

Lihat Detail Induk

Isi artikel

We contribute to the debate on the optimal design of multiunit auctions by developing and testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently treating the auctions as a repeated game between itself and primary dealers. Bidder behavior and underpricing react to the volatility of bond returns in a way that suggests bidders adjust for the winner's curse.

Opini Anda

Klik untuk menuliskan opini Anda tentang koleksi ini!

Kembali