Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions

• 成果类型: Article
• 署名作者: Nyborg, KG; Sundaresan, S
• 署名单位: Columbia University; University of London; London Business School
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(95)00871-B
• 发表日期: 1996
• 页码: 63-104
• 关键词: Winner's curse; short squeeze; markups; when-issued markets; strategic behavior

摘要

We use when-issued transactions data to assess the Treasury's current experiment with uniform auctions. When-issued volume is higher under uniform as compared to discriminatory auctions, suggesting a higher information release, which should;reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, when-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information and lower the short squeeze. A direct comparison of markups in uniform and discriminatory auctions yields mixed results.