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Evidence on Bidding Strategies and the Information in Treasury Bill Auctions

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Author Info
Cammack, Elizabeth B
Abstract

The empirical results presented suggest that imperfect information is present in the Treasury bill market. The mean auction price for three-month bills is, on average, four basis points below the comparable secondary market price of the 1973 period. This "downward biasing" is positively related to the anticipated amount of dispersion of auction bids. This suggests that auction bidders use a bidding strategy that accounts for their lack of agreement about the value of the bill. Further, the secondary bill market learns from the bill action, implying that these two markets aggregate traders' private information differently. Copyright 1991 by University of Chicago Press.

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Publisher Info
Article provided by University of Chicago Press in its journal Journal of Political Economy.

Volume (Year): 99 (1991)
Issue (Month): 1 (February)
Pages: 100-130
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Handle: RePEc:ucp:jpolec:v:99:y:1991:i:1:p:100-130

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  1. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei. [Downloadable!]
  2. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, issue Feb. [Downloadable!]
  3. Boyan Jovanovic & Peter L. Rousseau, 2001. "Liquidity Effects in the Bond Market," Working Papers 0117, Department of Economics, Vanderbilt University. [Downloadable!]
    Other versions:
  4. Rocholl, Jörg, 2005. "Discriminatory auctions with seller discretion : evidence from German treasury auctions," Discussion Paper Series 1: Economic Studies 2005,15, Deutsche Bundesbank, Research Centre. [Downloadable!]
  5. Michael J. Fleming & Kenneth D. Garbade & Frank Keane, 2004. "Anomalous bidding in short-term Treasury bill auctions," Staff Reports 184, Federal Reserve Bank of New York. [Downloadable!]
    Other versions:
  6. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei. [Downloadable!]
  7. Michael J. Fleming & Joshua V. Rosenberg, 2007. "How do treasury dealers manage their positions?," Staff Reports 299, Federal Reserve Bank of New York. [Downloadable!]
  8. Fernando Branco, 1996. "Common value auctions with independent types," Review of Economic Design, Springer, vol. 2(1), pages 283-309, December. [Downloadable!] (restricted)
  9. Keunkwan Ryu & Gyung-Rok Kim & Seonghwan Oh, 2004. "Discriminatory vs Uniform Price Auction: Auction Revenue," Econometric Society 2004 Far Eastern Meetings 539, Econometric Society. [Downloadable!]
  10. Goldreich, David, 2003. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," CEPR Discussion Papers 4105, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
  11. Bindseil, Ulrich & Nyborg, Kjell G. & Strebulaev, Ilya A., 2005. "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," Discussion Papers 2005/13, Department of Finance and Management Science, Norwegian School of Economics and Business Administration. [Downloadable!]
    Other versions:
  12. Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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