An Analysis of Bidding in the Japanese Government Bond Auctions
We examine the bidding patterns and auction profits in the Japanese Government Bond (JGB) auctions and empirically test the predictions of auction theory. We find that the average profit in JGB auctions is not reliably different from zero, and the degree of competition and the level of uncertainty are insignificant in determining auction profits. The winning shares of the U.S. dealers are positively related to auction profits, whereas the winning shares of their Japanese counterparts show a negative association. We also find that the share of winnings of Japanese dealers tends to be correlated with the share of winnings of their compatriot dealers but a similar relation is not found for U.S. dealers. Copyright The American Finance Association 1998.
Year of publication: |
1998
|
---|---|
Authors: | Hamao, Yasushi ; Jegadeesh, Narasimhan |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 53.1998, 2, p. 755-772
|
Publisher: |
American Finance Association - AFA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
An analysis of bidding in the Japanese Government Bond auctions
Hamao, Yasushi, (1998)
-
An Analysis of Bidding in the Japanese Government Bond Auctions
Hamao, Yasushi, (1998)
-
Hamao, Yasushi, (2012)
- More ...