auctions during the period 1992-99. Average underpricing amounts to .041% of face value. Theory suggests that underpricing may … behind bidder behavior and underpricing is the volatility of bond returns. Since there is no evidence that bidders are risk …

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 …

Several important auction settings, including treasury auctions in Canada and the U.S., have the feature that some …

. I also relate the parameters of the fitted function to economic variables known prior to the auction. This method … appears to be a useful tool for early detection of slumps in the performance of a particular auction design. …