Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions
AbstractWe 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 dataset of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently taking into account that the auctions are part of a repeated game between the Treasury and the primary dealers. Bidder behavior and underpricing are aï¬€ected by the volatility of bond returns in a way that suggests bidders adjust for the winnerâ€™s curse.
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Bibliographic InfoPaper provided by Anderson Graduate School of Management, UCLA in its series University of California at Los Angeles, Anderson Graduate School of Management with number qt6v17p79w.
Date of creation: 01 May 2004
Date of revision:
Multiunit auctions; uniform price auctions; treasury auctions; market power; JEL Classification Numbers: D44; G10;
Other versions of this item:
- Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2005. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," Journal of Finance, American Finance Association, vol. 60(4), pages 1865-1902, 08.
- 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.
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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