MARKUPS, QUANTITY RISK, AND BIDDING STRATEGIES AT TREASURY COUPON AUCTIONS

• 成果类型: Article
• 署名作者: SIMON, DP
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/0304-405X(94)90017-5
• 发表日期: 1994
• 页码: 43-62
• 关键词: TREASURY AUCTIONS

摘要

This study uses intraday when-issued rate quotes to examine the rewards and risks of the Treasury coupon auctions for bidders who face different tradeoffs between the winner's curse and quantity risk. The data indicate that markups of auction average rates over bid when-issued rates at auction times average 3/8 basis point. I also find that when-issued rates react as strongly to bidding aggressiveness at auctions before the auction results are announced as they do afterward, and that quantity risk is as important as the winner's curse.