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Citations for "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions"

by Nyborg, Kjell G. & Sundaresan, Suresh

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  1. Olivier Armantier & Nourredine Lafhel, 2009. "Comparison of Auction Formats in Canadian Government Auctions," Staff Working Papers 09-5, Bank of Canada.
  2. Bourjade, Sylvain, 2003. "Strategic Price Discounting and Rationing in Uniform Price Auctions," MPRA Paper 7260, University Library of Munich, Germany, revised Oct 2007.
  3. Kenneth D. Garbade & Jeffrey F. Ingber, 2005. "The Treasury auction process: objectives, structure, and recent acquisitions," Current Issues in Economics and Finance, Federal Reserve Bank of New York, vol. 11(Feb).
  4. Damianov, Damian S. & Oechssler, Jörg & Becker, Johannes Gerd, 2007. "Uniform vs. discriminatory auctions with variable supply : experimental evidence," Papers 07-68, Sonderforschungsbreich 504.
  5. He, Yan & Lin, Hai & Wang, Junbo & Wu, Chunchi, 2009. "Price discovery in the round-the-clock U.S. Treasury market," Journal of Financial Intermediation, Elsevier, vol. 18(3), pages 464-490, July.
  6. Nyborg, Kjell G. & Strebulaev, Ilya A. & Bindseil, Ulrich, 2002. "Bidding and performance in repo auctions: evidence from ECB open market operations," Working Paper Series 0157, European Central Bank.
  7. Xue Wang, 2012. "Comparison of two parameterizations of the winner's curse model in a sample of Swedish Treasury auctions," International Journal of Accounting and Information Management, Emerald Group Publishing, vol. 20(2), pages 100-113.
  8. Michael J. Fleming & Neel Krishnan, 2009. "The microstructure of the TIPS market," Staff Reports 414, Federal Reserve Bank of New York.
  9. Rocholl, Jörg, 2005. "Discriminatory auctions with seller discretion: evidence from German treasury auctions," Discussion Paper Series 1: Economic Studies 2005,15, Deutsche Bundesbank, Research Centre.
  10. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  11. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2004. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," CFR Working Papers 04-03, University of Cologne, Centre for Financial Research (CFR).
  12. Michael J. Fleming & Kenneth D. Garbade & Frank M. Keane, 2004. "Anomalous bidding in short-term Treasury bill auctions," Staff Reports 184, Federal Reserve Bank of New York.
  13. Paul Klemperer, 2000. "Why Every Economist Should Learn Some Auction Theory," Microeconomics 0004009, EconWPA.
  14. Owen Lamont, 2004. "Go Down Fighting: Short Seller vs. Firms," Yale School of Management Working Papers amz2521, Yale School of Management, revised 01 Aug 2004.
  15. Beetsma, Roel & Giuliodori, Massimo & de Jong, Frank & Widijanto, Daniel, 2013. "Price effects of sovereign debt auctions in the Euro-zone: the role of the crisis," Working Paper Series 1595, European Central Bank.
  16. Bower, John & Bunn, Derek, 2001. "Experimental analysis of the efficiency of uniform-price versus discriminatory auctions in the England and Wales electricity market," Journal of Economic Dynamics and Control, Elsevier, vol. 25(3-4), pages 561-592, March.
  17. Michel A. Habib & Alexandre Ziegler, 2003. "Why Government Bonds Are Sold by Auction and Corporate Bonds by Posted-Price Selling," FAME Research Paper Series rp78, International Center for Financial Asset Management and Engineering.
  18. Keloharju, Matti & Nyborg, Kjell G. & Rydqvist, Kristian, 2004. "Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt6v17p79w, Anderson Graduate School of Management, UCLA.
  19. Ali Hortacsu & Samita Sareen, 2005. "Order Flow and the Formation of Dealer Bids: Information Flows and Strategic Behavior in the Government of Canada Securities Auctions," NBER Working Papers 11116, National Bureau of Economic Research, Inc.
  20. Rodolfo Guerrero & José Luis Negrín, 2006. "Eficiencia del sistema bancario mexicano 1997-2004: una estimación dinámica," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 235-259, julio-sep.
  21. Hongjun Yan, 2011. "Anticipated and Repeated Shocks in Liquid Markets," Yale School of Management Working Papers amz2675, Yale School of Management.
  22. Arupratan Daripa, 1996. "A Theory of Treasury Auctions," Archive Working Papers 006, Birkbeck, Department of Economics, Mathematics & Statistics.
  23. Ali Hortacsu & Jakub Kastl, 2010. "Informational Advantage and Information Structure: An Analysis of Canadian Treasury Auctions," Discussion Papers 09-031, Stanford Institute for Economic Policy Research.
  24. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  25. Goodell, John W. & McGroarty, Frank & Urquhart, Andrew, 2015. "Political uncertainty and the 2012 US presidential election: A cointegration study of prediction markets, polls and a stand-out expert," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 162-171.
  26. Hans Haller & Yvan Lengwiler, 1998. "A discrete model of discriminatory price auctions - an alternative to Menezes-Monteiro," Finance and Economics Discussion Series 1998-08, Board of Governors of the Federal Reserve System (U.S.).
  27. Bahamin, Payam & Cebula, Richard & Foley, Maggie & Houmes, Robert, 2011. "The Demand for Treasury Securities at Auction," MPRA Paper 52026, University Library of Munich, Germany.
  28. Hailu, Atakelty & Schilizzi, Steven, 2003. "Investigating the performance of market-based instruments for resource conservation: the contribution of agent-based modelling," 2003 Conference (47th), February 12-14, 2003, Fremantle, Australia 57883, Australian Agricultural and Resource Economics Society.
  29. Longstaff, Francis A & Han, Bing & Merrill, Craig, 2004. "Revenue Implications of Multi-Item Multi-Unit Auction Designs: Empirical Evidence from the U.S. Treasury Buyback Auctions," University of California at Los Angeles, Anderson Graduate School of Management qt7344v866, Anderson Graduate School of Management, UCLA.
  30. Monostori, Zoltan, 2013. "Diszkriminatív áras és egyenáras aukciók
    [Discriminatory versus uniform-price auctions]
    ," MPRA Paper 54254, University Library of Munich, Germany, revised Apr 2013.
  31. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
  32. Klemperer, Paul, 2000. "What Really Matters in Auction Design," CEPR Discussion Papers 2581, C.E.P.R. Discussion Papers.
  33. Daniel Heller & Yvan Lengwiler, 1998. "The auctions of Swiss government bonds: should the Treasury price discriminate or not?," Finance and Economics Discussion Series 1998-11, Board of Governors of the Federal Reserve System (U.S.).
  34. Catherine D. Wolfram, 1997. "Strategic Bidding in a Multi-Unit Auction: An Empirical Analysis of Bids to Supply Electricity," NBER Working Papers 6269, National Bureau of Economic Research, Inc.
  35. Keunkwan Ryu & Gyung-Rok Kim & Seonghwan Oh, 2004. "Discriminatory vs Uniform Price Auction: Auction Revenue," Econometric Society 2004 Far Eastern Meetings 539, Econometric Society.
  36. Olivier Armantier & Erwann Sbai, 2003. "Estimation and Comparison of Treasury Auction Formats when Bidders are Asymmetric," Department of Economics Working Papers 03-02, Stony Brook University, Department of Economics.
  37. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei.
  38. Chen, An-Sing & Liaw, Gwohorng & Leung, Mark T., 2003. "Stock auction bidding behavior and information asymmetries: An empirical analysis using the discriminatory auction model framework," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 867-889, May.
  39. Skully, David W., 1999. "The Economics Of Trq Administration," Working Papers 14584, International Agricultural Trade Research Consortium.
  40. Klemperer, Paul, 2000. "What Really Matters in Auction Design: the European Spectrum Auctions," Econometric Society World Congress 2000 Contributed Papers 1937, Econometric Society.
  41. Ranaldo, Angelo & Rossi, Enzo, 2016. "Uniform-price Auctions for Swiss Government Bonds: Origin and Evolution," Working Papers on Finance 1609, University of St. Gallen, School of Finance.
  42. Walter Orellana Rocha & Bernardo X. Fernández Tellería & Vladimir Fernández Quiroga, 2006. "Subasta electrónica interactiva y subasta a sobre cerrado: Un análisis comparativo de los resultados en Bolivia," Revista de Análisis del BCB, Banco Central de Bolivia, vol. 9(1), pages 65-113, December.
  43. Saikat Nandi, 1997. "Treasury auctions: what do the recent models and results tell us?," Economic Review, Federal Reserve Bank of Atlanta, issue Q 4, pages 4-15.
  44. Aussenegg, Wolfgang & Pichler, Pegaret & Stomper, Alex, 2006. "IPO Pricing with Bookbuilding and a When-Issued Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 41(04), pages 829-862, December.
  45. Paul Castillo & Carlos Montoro & Vicente Tuesta, 2006. "Estimación de la tasa natural de interés para la economía peruana," Monetaria, Centro de Estudios Monetarios Latinoamericanos, vol. 0(3), pages 261-298, julio-sep.
  46. Han, Bing & Longstaff, Francis A. & Merrill, Craig, 2005. "The Cherry-Picking Option in the U.S. Treasury Buyback Auctions," Working Paper Series 2004-23, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
  47. Bennouri, Moez & Gimpel, Henner & Robert, Jacques, 2011. "Measuring the impact of information aggregation mechanisms: An experimental investigation," Journal of Economic Behavior & Organization, Elsevier, vol. 78(3), pages 302-318, May.
  48. Goldreich, David, 2003. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," CEPR Discussion Papers 4105, C.E.P.R. Discussion Papers.
  49. Merrick, John Jr & Naik, Narayan Y. & Yadav, Pradeep K., 2005. "Strategic trading behavior and price distortion in a manipulated market: anatomy of a squeeze," Journal of Financial Economics, Elsevier, vol. 77(1), pages 171-218, July.
  50. Alvarez, Francisco & Mazon, Cristina, 2007. "Comparing the Spanish and the discriminatory auction formats: A discrete model with private information," European Journal of Operational Research, Elsevier, vol. 179(1), pages 253-266, May.
  51. Andrikopoulos, Andreas, 2015. "Truth and financial economics: A review and assessment," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 186-195.
  52. Klaus Abbink & Jordi Brandts & Paul Pezanis-Christou, 2002. "Auctions for Government Securities: A Laboratory Comparison of Uniform, Discriminatory and Spanish Designs," UFAE and IAE Working Papers 551.02, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
  53. Deddy Koesrindartoto, 2003. "Treasury Auctions, Uniform or Discriminatory?: An Agent-based Approach," Computing in Economics and Finance 2003 241, Society for Computational Economics.
  54. Jean-Jacques Laffont, 1998. "Théorie des jeux et économie empirique : le cas des données issues d'enchères," Économie et Prévision, Programme National Persée, vol. 132(1), pages 121-137.
  55. Alan Mehlenbacher, 2007. "Multiagent System Simulations of Treasury Auctions," Department Discussion Papers 0709, Department of Economics, University of Victoria.
  56. Kentaro Kawasaki & Takeshi Fujie & Kentaro Koito & Norikazu Inoue & Hiroki Sasaki, 2012. "Conservation Auctions and Compliance: Theory and Evidence from Laboratory Experiments," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 52(2), pages 157-179, June.
  57. Song, Zhaogang & Zhu, Haoxiang, 2014. "QE Auctions of Treasury Bonds," Finance and Economics Discussion Series 2014-48, Board of Governors of the Federal Reserve System (U.S.).
  58. Agarwal, Vikas & Fung, William H. & Loon, Yee Cheng & Naik, Narayan Y., 2011. "Risk and return in convertible arbitrage: Evidence from the convertible bond market," Journal of Empirical Finance, Elsevier, vol. 18(2), pages 175-194, March.
  59. Michał Krawczyk, 2009. "Demand functions in Polish Treasury auctions," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 40(4), pages 31-49.
  60. Alex Stomper & Pegaret Pichler, 2004. "Primary Market Design: Direct Mechanisms and Markets," Working Papers 2004.9, Fondazione Eni Enrico Mattei.
  61. Rhee, S. Ghon, 2000. "Further Reforms after the "BIG BANG": The Japanese Government Bond Market," CEI Working Paper Series 2000-3, Center for Economic Institutions, Institute of Economic Research, Hitotsubashi University.
  62. Bruce Mizrach & Christopher J. Neely, 2006. "The transition to electronic communications networks in the secondary treasury market," Review, Federal Reserve Bank of St. Louis, issue Nov, pages 527-542.
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