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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. Monostori, Zoltán, 2013. "Diszkriminatív áras és egyenáras aukciók
    [Discriminatory and uniform-price auctions]
    ," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), vol. 0(10), pages 1048-1074.
  2. Hongjun Yan & Jinfan Zhang & Dong Lou, 2011. "Anticipated and Repeated Shocks in Liquid Markets," FMG Discussion Papers dp684, Financial Markets Group.
  3. Bindseil, Ulrich & Nyborg, Kjell G & Strebulaev, Ilya, 2004. "Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations," CEPR Discussion Papers 4367, C.E.P.R. Discussion Papers.
  4. repec:dgr:uvatin:20130150 is not listed on IDEAS
  5. 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.
  6. 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.
  7. 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.
  8. Michał Krawczyk, 2009. "Demand functions in Polish Treasury auctions," Bank i Kredyt, National Bank of Poland, Economic Institute, vol. 40(4), pages 31-49.
  9. Klemperer, Paul, 2000. "Why every Economist should Learn some Auction Theory," CEPR Discussion Papers 2572, C.E.P.R. Discussion Papers.
  10. 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.).
  11. 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.
  12. 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.
  13. David Goldreich, 2004. "Behavioral Biases of Dealers in U.S. Treasury Auctions," Working Papers 2004.143, Fondazione Eni Enrico Mattei.
  14. Bahamin, Payam & Cebula, Richard & Foley, Maggie & Houmes, Robert, 2011. "The Demand for Treasury Securities at Auction," MPRA Paper 52026, University Library of Munich, Germany.
  15. 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.
  16. 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.
  17. 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.
  18. 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.
  19. Koesrindartoto, Deddy P., 2004. "Treasury Auctions, Uniform or Discriminatory?: An Agent-Based Approach," Staff General Research Papers 11988, Iowa State University, Department of Economics.
  20. Owen Lamont, 2004. "Go Down Fighting: Short Sellers vs. Firms," NBER Working Papers 10659, National Bureau of Economic Research, Inc.
  21. Alex Stomper & Wolfgang Aussenegg & Pegaret Pichler, 2004. "IPO Pricing with Bookbuilding and a When-Issued Market," Working Papers 2004.8, Fondazione Eni Enrico Mattei.
  22. Beetsma, Roel & de Jong, Frank & Giuliodori, Massimo & Widijanto, Daniel, 2013. "Price Effects of Sovereign Debt Auctions in the Euro-zone: The Role of the Crisis," CEPR Discussion Papers 9659, C.E.P.R. Discussion Papers.
  23. Michael J. Fleming & Neel Krishnan, 2009. "The microstructure of the TIPS market," Staff Reports 414, Federal Reserve Bank of New York.
  24. 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.
  25. Damian S. Damianov & Jörg Oechssler & Johannes Gerd Becker, 2007. "Uniform vs. Discriminatory Auctions with Variable Supply - Experimental Evidence," Working Papers 0460, University of Heidelberg, Department of Economics, revised Nov 2007.
  26. Olivier Armantier & Nourredine Lafhel, 2009. "Comparison of Auction Formats in Canadian Government Auctions," Working Papers 09-5, Bank of Canada.
  27. Keunkwan Ryu & Gyung-Rok Kim & Seonghwan Oh, 2004. "Discriminatory vs Uniform Price Auction: Auction Revenue," Econometric Society 2004 Far Eastern Meetings 539, Econometric Society.
  28. Michael J. Fleming & Kenneth D. Garbade & Frank Keane, 2005. "Anomalous Bidding In Short-Term Treasury Bill Auctions," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 28(2), pages 165-176.
  29. 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.
  30. Bruce Mizrach & Christopher J. Neely, 2007. "The microstructure of the U.S. treasury market," Working Papers 2007-052, Federal Reserve Bank of St. Louis.
  31. 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.
  32. Paul Klemperer, 2000. "What Really Matters in Auction Design," Economics Series Working Papers 2000-W26, University of Oxford, Department of Economics.
  33. Skully, David W., 1999. "The Economics Of Trq Administration," Working Papers 14584, International Agricultural Trade Research Consortium.
  34. 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).
  35. 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.
  36. 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.
  37. 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.).
  38. Bourjade, Sylvain, 2003. "Strategic Price Discounting and Rationing in Uniform Price Auctions," MPRA Paper 7260, University Library of Munich, Germany, revised Oct 2007.
  39. 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.
  40. Goldreich, David, 2003. "Underpricing in Discriminatory and Uniform-Price Treasury Auctions," CEPR Discussion Papers 4105, C.E.P.R. Discussion Papers.
  41. 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.
  42. Klemperer, Paul, 2000. "What Really Matters in Auction Design: the European Spectrum Auctions," Econometric Society World Congress 2000 Contributed Papers 1937, Econometric Society.
  43. 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.
  44. 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).
  45. 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.
  46. Keloharju, Matti & Nyborg, Kjell G & Rydqvist, Kristian, 2002. "Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions," CEPR Discussion Papers 3586, C.E.P.R. Discussion Papers.
  47. repec:vic:vicddp:0709 is not listed on IDEAS
  48. 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.
  49. 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.
  50. 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.
  51. Daripa, Arupratan, 2001. "A theory of treasury auctions," Journal of International Money and Finance, Elsevier, vol. 20(6), pages 743-767, November.
  52. 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.
  53. 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.
  54. 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.
  55. 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.
  56. 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.).
  57. Matti Keloharju & Kjell G. Nyborg & Kristian Rydqvist, 2003. "Strategic Behavior and Underpricing in Uniform Price Auctions," Working Papers 2003.25, Fondazione Eni Enrico Mattei.
  58. Pasquariello, Paolo & Vega, Clara, 2009. "The on-the-run liquidity phenomenon," Journal of Financial Economics, Elsevier, vol. 92(1), pages 1-24, April.
  59. Alex Stomper & Pegaret Pichler, 2004. "Primary Market Design: Direct Mechanisms and Markets," Working Papers 2004.9, Fondazione Eni Enrico Mattei.
  60. 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).
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