The Demand for Treasury Securities at Auction
This study empirically analyzes the demand for Treasury securities at auctions over the period October 1998 through July 2010 from the perspective of bid composition and the influence of demand at auction on the secondary market. The results show that the demand at auction, measured by bid dispersion, is positively related to the bid-to-cover ratio but is negatively associated with the percentage of accepted competitive bids as well as the percentage of noncompetitive bids. Post-auction returns are positively related to demand at auction. The findings suggest the existence of arbitrage opportunities resulting from the price discrepancy between the auction and the secondary market when the demand for Treasury securities at auction is high.
|Date of creation:||13 Sep 2011|
|Date of revision:|
|Publication status:||Published in Academy of Economics and Finance Journal 1.3(2012): pp. 23-32|
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Web page: http://mpra.ub.uni-muenchen.de
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- Professor Paul Klemperer, 2000.
"What Really Matters in Auction Design,"
- Goldreich, David, 2007. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(02), pages 443-466, June.
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"The Canadian Treasury Bill Auction and the Term Structure of Interest Rates,"
Cahiers de recherche CREFE / CREFE Working Papers
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- Kjell G. Nyborg, 2004.
"Multiple Unit Auctions and Short Squeezes,"
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Society for Financial Studies, vol. 17(2), pages 545-580.
- Cammack, Elizabeth B, 1991. "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy, University of Chicago Press, vol. 99(1), pages 100-130, February.
- Michael J. Fleming, 2007. "Who buys Treasury securities at auction?," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 13(Jan).
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