Evidence on Bidding Strategies and the Information in Treasury Bill Auctions
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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