million and increases the auction costs on that bond by 2.6 cents per $100 par value, controlling for standard covariates. Our …

treasury auction return volatility, which is increasing in time to settlement. I model treasury auction returns using a GARCH …-M process and show that return volatility forecasts explain the bulk of treasury auction underpricing. I also show that … forecasts of expected risk-adjusted treasury auction returns explain treasury auction demand. These findings suggest that what …

to the arrival of information, investors hedge less, and the price decreases. I illustrate the relevance of the theory in …

The Federal Reserve (Fed) uses a unique auction mechanism to purchase U.S. Treasury securities in implementing its … transaction prices and quantities of each traded bond in each auction, as well as dealers' identities. We find that: (1) In QE … toward more liquid bonds; (2) The auction costs are low on average: the Fed pays around 0.7 cents per $100 par value above …

deeper and more accurately these two findings by taking Italy as a case study. Our results question the so-called auction …

-unit auction with risk averse bidders. We show that for a particular class of signal distributions, there is a one-to-one relation … bookbuilding auction and show that in such an auction, bidders may collude to push the price down to the seller's reservation price …

secondary market at the day of the auction. Using intraday data from the Mercato Telematico dei titoli di Stato (MTS), I find … evidence of an intraday pronounced inverted V-Shape on the yield difference, which goes up with a maximum at the auction time …, and then recovers more than two hours after. This "auction effect" is significant for the Italian bonds and for the 10Y …