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Secondary market pricing behaviour around UK bond auctions

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  • Farooq Ahmad
  • James Steeley

Abstract

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve, the market offered statistically and economically significant excess returns, around the auctions held between 1992 and 2004. A cross-sectional analysis of the cumulative excess returns shows that the excess demand at the auctions is a key determinant of this excess return.

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File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100701250268
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Bibliographic Info

Article provided by Taylor & Francis Journals in its journal Applied Financial Economics.

Volume (Year): 18 (2008)
Issue (Month): 9 ()
Pages: 691-699

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Handle: RePEc:taf:apfiec:v:18:y:2008:i:9:p:691-699

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Cited by:
  1. Francis Breedon & Jagjit S Chadha & Alex Waters, 2012. "The financial market impact of UK quantitative easing," BIS Papers chapters, in: Bank for International Settlements (ed.), Threat of fiscal dominance?, volume 65, pages 277-304 Bank for International Settlements.
  2. Bank for International Settlements, 2012. "Threat of fiscal dominance?," BIS Papers, Bank for International Settlements, number 65, 8.

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