An Analysis of Bidding in the Japanese Government Bond Auctions
AbstractWe examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. We find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a negative association. We also find that the share of winnings of Japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for U.S. dealers. Copyright The American Finance Association 1998.
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Bibliographic InfoArticle provided by American Finance Association in its journal The Journal of Finance.
Volume (Year): 53 (1998)
Issue (Month): 2 (04)
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- Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
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University of California at Los Angeles, Anderson Graduate School of Management
qt6v17p79w, Anderson Graduate School of Management, UCLA.
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