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.
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