Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions
AbstractThis paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner’s curse. Bidders shade and disperse their bids more, and reduce quantity demanded, when the number of competing bidders increases. Tests suggest that there are some differences between the individual bidders. For instance, the most frequent bidders tend to disperse their bids more than other bidders, on average. Differences in bid shading and bidder profits can not be explained by bidder frequency or bidder size.
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Bibliographic InfoPaper provided by Institute for Financial Research in its series SIFR Research Report Series with number 3.
Length: 36 pages
Date of creation: 10 Dec 2001
Date of revision:
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Postal: Institute for Financial Research Drottninggatan 89, SE-113 60 Stockholm, Sweden
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More information through EDIRC
Auctions; Treasury Securities; Winner's Curse;
Find related papers by JEL classification:
- D44 - Microeconomics - - Market Structure and Pricing - - - Auctions
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
This paper has been announced in the following NEP Reports:
- NEP-ALL-2002-12-09 (All new papers)
- NEP-CFN-2002-12-09 (Corporate Finance)
- NEP-FIN-2002-12-09 (Finance)
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