Bidding and Information: Evidence from Gilt-Edged Auctions
Many studies have shown that government debt auctions underprice debt compared with the secondary market. This paper corroborates this for certain forms of gilt auction by comparing the price received at auction with an almost identical parent stock in the secondary market. Although the sample is small, the parent/auction stock price comparison gives a cleaner measure than used in other studies. The paper also compares non-fungible auctions (where the auction stock differs slightly from the parent at auction and merges subsequently) with fully-fungible ones (where they are identical throughout). Significant underpricing only occurs in non-fungible auctions.
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Volume (Year): 110 (2000)
Issue (Month): 466 (October)
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- Spindt, Paul A. & Stolz, Richard W., 1992. "Are US treasury bills underpriced in the primary market?," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 891-908, September.
- Danny Quah & Shaun Vahey, 1995.
"Measuring Core Inflation,"
Bank of England working papers
31, Bank of England.
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