Bidding and Information: Evidence from Gilt-Edged Auctions
AbstractMany studies have shown that government debt auctions underprice debt compared with the secondary market. This paper corroborates this for certain forms of gilt auction by comparing the price received at auction with an almost identical parent stock in the secondary market. Although the sample is small, the parent/auction stock price comparison gives a cleaner measure than used in other studies. The paper also compares non-fungible auctions (where the auction stock differs slightly from the parent at auction and merges subsequently) with fully-fungible ones (where they are identical throughout). Significant underpricing only occurs in non-fungible auctions.
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Bibliographic InfoArticle provided by Royal Economic Society in its journal The Economic Journal.
Volume (Year): 110 (2000)
Issue (Month): 466 (October)
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Other versions of this item:
- Francis Breedon & Joe Ganley, 1996. "Bidding and Information: Evidence from Gilt-Edged Auctions," Bank of England working papers 42, Bank of England.
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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"Measuring Core Inflation,"
CEPR Discussion Papers
1153, C.E.P.R. Discussion Papers.
- Danny Quah & Danny Quah & Shaun P. Vahey, 1995.
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CEP Discussion Papers
dp0254, Centre for Economic Performance, LSE.
- Sara Castellanos, 2001. "A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is there more underpricing?," Levine's Working Paper Archive 625018000000000206, David K. Levine.
- Breuer, Wolfgang, 1999. "The relevance of primary dealers for public bond issues," CFS Working Paper Series 1999/11, Center for Financial Studies (CFS).
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- Daines, Martin & Joyce, Michael & Tong, Matthew, 2012. "QE and the gilt market: a disaggregated analysis," Bank of England working papers 466, Bank of England.
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