auctions during the period 1992-99. Average underpricing amounts to 0.041% of face value. Theory suggests that underpricing may … behind bidder behaviour and underpricing is the volatility of bond returns. Since there is no evidence that bidders are risk …

underpricing. We make a realistic modification to the theory by allowing discrete prices, quantities and bids. We show that … underpricing can be made arbitrarily small by choosing a sufficiently small price tick size and a sufficiently large quantity …

Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that … bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher … average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction …

auction data can be learned without restrictions beyond those derived from the relevant economic model. This enables us to … take a nonparametric perspective in discussing how the structure of auction models can be combined with observables to … uncover (or test hypotheses about) primitives of interest in auction markets. We focus on first-price sealed-bid and ascending …

examines the extent to which the auction mechanisms are responsible for underpricing. Empirically, I find that even for the … equilibrium level of underpricing in an individual auction can be predicted from the summary statistics released by the Treasury … after each auction. Empirical results show that the magnitude of underpricing in the auctions, and the cross …

We describe the economics literature on auction markets, with an emphasis on the connection between theory, empirical … and estimation issues, with an emphasis on the connection between theory and empirical practice. We also discuss both …

bonds that are exchanged during the auction. We also document a V-shaped pattern in underpricing during the days surrounding … auction, the extent to which they are underpriced increases, with the smallest underpricing coming on the day of the auction. … analysis, we show that the current auction design may not result in the fair bond price and suggest modifications to the …