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A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is there more underpricing?

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  • Sara Castellanos

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Paper provided by David K. Levine in its series Levine's Working Paper Archive with number 625018000000000206.

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Date of creation: 07 Sep 2001
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Handle: RePEc:cla:levarc:625018000000000206

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  1. Haile, Philip A., 2003. "Auctions with private uncertainty and resale opportunities," Journal of Economic Theory, Elsevier, Elsevier, vol. 108(1), pages 72-110, January.
  2. Michael B. Gordy, 1997. "Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction," Microeconomics, EconWPA 9702002, EconWPA.
  3. Lawrence M. Ausubel & Peter Cramton, 2004. "Vickrey Auctions with Reserve Pricing," Papers of Peter Cramton 99wpvic, University of Maryland, Department of Economics - Peter Cramton, revised 28 Jun 1999.
  4. Nautz, D. & Wolfstetter, E., 1997. "Bid shading and risk aversion in multi-unit auctions with many bidders," Economics Letters, Elsevier, Elsevier, vol. 56(2), pages 195-200, October.
  5. Copeland, Thomas E & Galai, Dan, 1983. " Information Effects on the Bid-Ask Spread," Journal of Finance, American Finance Association, American Finance Association, vol. 38(5), pages 1457-69, December.
  6. Amihud, Yakov & Mendelson, Haim, 1986. "Asset pricing and the bid-ask spread," Journal of Financial Economics, Elsevier, Elsevier, vol. 17(2), pages 223-249, December.
  7. Haile,P.A., 1999. "Auctions with resale," Working papers, Wisconsin Madison - Social Systems 33, Wisconsin Madison - Social Systems.
  8. Nancy Harvey, 1999. "Recent Initiatives in the Canadian Market for Government of Canada Securities," Bank of Canada Review, Bank of Canada, Bank of Canada, vol. 1999(Summer), pages 27-35.
  9. Brennan, Michael J & Subrahmanyam, Avanidhar, 1998. "The Determinants of Average Trade Size," The Journal of Business, University of Chicago Press, vol. 71(1), pages 1-25, January.
  10. Daniel Heller & Yvan Lengwiler, 1998. "The auctions of Swiss government bonds: should the Treasury price discriminate or not?," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-11, Board of Governors of the Federal Reserve System (U.S.).
  11. Nautz, D., 1995. "Optimal bidding in multi-unit auctions with many bidders," Economics Letters, Elsevier, Elsevier, vol. 48(3-4), pages 301-306, June.
  12. Yvan Lengwiler, 1998. "The multiple unit auction with variable supply," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 1998-28, Board of Governors of the Federal Reserve System (U.S.).
  13. Umlauf, Steven R., 1993. "An empirical study of the Mexican Treasury bill auction," Journal of Financial Economics, Elsevier, Elsevier, vol. 33(3), pages 313-340, June.
  14. Carlo Cottarelli & Leonardo Bartolini, 1994. "Treasury Bill Auctions," IMF Working Papers 94/135, International Monetary Fund.
  15. Branch, Ben & Freed, Walter, 1977. "Bid-Asked Spreads on the Amex and the Big Board," Journal of Finance, American Finance Association, American Finance Association, vol. 32(1), pages 159-63, March.
  16. Sushil Bikhchandani & Chi-fu Huang, 1993. "The Economics of Treasury Securities Markets," Journal of Economic Perspectives, American Economic Association, American Economic Association, vol. 7(3), pages 117-134, Summer.
  17. Lawrence M. Ausubel & Peter Cramton, 1997. "Auctioning Securities," Papers of Peter Cramton 98wpas, University of Maryland, Department of Economics - Peter Cramton, revised Mar 1998.
  18. Francis Breedon & Joe Ganley, 1996. "Bidding and Information: Evidence from Gilt-Edged Auctions," Bank of England working papers 42, Bank of England.
  19. Nautz, Dieter, 1997. "How Auctions Reveal Information: A Case Study on German REPO Rates," Journal of Money, Credit and Banking, Blackwell Publishing, Blackwell Publishing, vol. 29(1), pages 17-25, February.
  20. Robert Alan Feldman & Vincent Reinhart, 1995. "Auction Format Matters," IMF Working Papers 95/47, International Monetary Fund.
  21. Saikat Nandi, 1997. "Treasury auctions: what do the recent models and results tell us?," Economic Review, Federal Reserve Bank of Atlanta, Federal Reserve Bank of Atlanta, issue Q 4, pages 4-15.
  22. Peter Kennedy, 2003. "A Guide to Econometrics, 5th Edition," MIT Press Books, The MIT Press, edition 5, volume 1, number 026261183x, December.
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