Valuing Dealers' Informational Advantage: A Study of Canadian Treasury Auctions

• 成果类型: Article
• 署名作者: Hortacsu, Ali; Kastl, Jakub
• 署名单位: University of Chicago; National Bureau of Economic Research; Stanford University
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA8365
• 发表日期: 2012
• 页码: 2511-2542
• 关键词: divisible good auctions; identification; EFFICIENCY; MARKETS; revenue; formats; tests

摘要

In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian Treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, that is, the distribution of competing bids in the auction, and (ii) fundamentals, that is, the ex post value of the security being auctioned. We devise formal hypothesis tests for both sources of informational advantage. In our data, we do not find evidence that dealers are learning about fundamentals. We find that the information about competition contained in customer bids accounts for 1327% of dealers' expected profits.