This paper provides evidence of bounded rationality by large dealers in U.S. Treasury auctions. I argue that these dealers use a heuristic of yield-space bidding which leads to biases manifested in three ways: they submit dominated bids, i.e., those that could be improved without raising the...

This paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner's curse. Bidders...