ANOMALOUS BIDDING IN SHORT-TERM TREASURY BILL AUCTIONS
We show that Treasury bill auction procedures create classes of price-equivalent discount rates for bills with less than 72 days to maturity. We argue that it is inefficient for market participants to bid at a discount rate that is not the minimum rate in its class. The inefficiency of bidding at other than the minimum rate is related to a quantity shortfall rather than an unexploited profit opportunity. Auction results for weekly offerings of four-week bills and occasional offerings of cash management bills show that market participants frequently bid at inefficient rates. However, they are more likely to bid at efficient rates than chance would suggest. 2005 The Southern Finance Association and the Southwestern Finance Association.
Year of publication: |
2005
|
---|---|
Authors: | Fleming, Michael J. ; Garbade, Kenneth D. ; Keane, Frank |
Published in: |
Journal of Financial Research. - Southern Finance Association - SFA, ISSN 0270-2592. - Vol. 28.2005, 2, p. 165-176
|
Publisher: |
Southern Finance Association - SFA Southwestern Finance Association - SWFA |
Saved in:
freely available
Saved in favorites
Similar items by person
-
Anomalous bidding in short-term treasury bill auctions
Fleming, Michael J., (2004)
-
Anomalous bidding in short-term treasury bill auctions
Fleming, Michael J., (2004)
-
ANOMALOUS BIDDING IN SHORT-TERM TREASURY BILL AUCTIONS link rid="fn1">*
Fleming, Michael J., (2005)
- More ...