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 …

part of a repeated game between the Treasury and the primary dealers. Bidder behavior and underpricing are affected by the …

To issue Treasury securities by auctions is a common method in many countries all over the world. The auction … not surprising that the question which auction mechanism should be chosen is still unresolved. In this study, we analyze …

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 …

modify the auction rules in allowing the seller to ration strategic bidders in order to ensure small bidders' participation …

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 …

The purpose of this paper is to compare the two auction techniques (discriminatory and uniform-price auctions) most … auction. Theoretical models arrive at different rankings for expected revenue; however, they do reveal the relationship … between the bids submitted and the auction technique. These results are confirmed both by ‘laboratory’ experiments and the …

which options are valued by means of an online auction of securities (ESOARS) that track the aggregate payments made to the …' demand elasticity and a comparison of the auction prices to various model-based estimates. Despite legitimate concerns about … size and seller incentives, we find that the auction mechanism appears quite resilient in terms of delivering fair values …