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Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions Author info | Abstract | Publisher info | Download info | Related research | Statistics MATTI KELOHARJU
KJELL G. NYBORG
KRISTIAN RYDQVIST
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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. Copyright 2005 by The American Finance Association.
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Article provided by American Finance Association in its journal The Journal of Finance .
Volume (Year): 60 (2005)
Issue (Month): 4 (08)
Pages: 1865-1902
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Handle: RePEc:bla:jfinan:v:60:y:2005:i:4:p:1865-1902Contact details of provider: Web page: http://www.afajof.org/ More information through EDIRC
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references Cited by : (explanations , Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile , click on "citations" and make appropriate adjustments.)
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Marco LiCalzi & Alessandro Pavan, 2002.
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