Auctions of government bonds are the main allotment method used by the Treasury of advanced economies. Previous research has found that auctions have an influence on the market yield days before they take place, and underpricing is usually spotted when their outcome is compared with...

This paper revisits recent empirical research on buyer credulity in arts auctions and auctions for assets in general. We show that elementary results in auction theory can fully account for some stylized facts on asset returns that have been held to suggest that sellers of assets can exploit...

After the global financial crisis, the yields of U.S. Treasury bills frequently exceed other risk-free rate benchmarks, thereby pointing to a diminishing convenience premium. Moreover, increases in market uncertainty (measured by VIX), increase Treasury yields instead of triggering flights to...

Earlier research has shown that euro-area primary public debt markets affect secondary markets. We find that more successful auctions of euro area public debt, as captured by higher bid-to-cover ratios, lead to lower secondary-market yields following the auctions. This effect is stronger when...

Discussions about market efficiency in finance are unfocused when they fail to distinguish between the price-equals-value market hypothesis and the hard-to-beat market hypothesis. And discussions are further lacking when they fail to explain why so many investors believe that markets are easy to...

This paper examines whether a randomized auction ending time reduces market manipulation. Using the random auction ending rule implemented on the Singapore Exchange, we examine changes in indicators of market manipulation and market efficiency. We find that end of day price swings and price...

We model 73.62 million London Stock Exchange (LSE) trades and show that the LSE's high rate of failure to open at the opening auction only relates to low volume stocks. Low volume stock traders avoid trading until the open; this seems connected to their evading the informed trading-dominated...

We study the design of CDS auctions, which determine the payments by CDS sellers to CDS buyers following the defaults of bonds. Through a simple model, we find that the current design of CDS auctions leads to biased prices and inefficient allocations. This is because various restrictions imposed...

I empirically show that underpricing of uniform-price U.S. Treasury auctions is explained by risk premia. I posit that intermediaries demand a risk premium to offset future secondary market price uncertainty, in which uncertainty is captured by treasury auction return volatility, which is...

This paper investigates the informational content of aggregate prices in the fine arts auction market. A Mixed Data Sampling (MIDAS) modeling approach is proposed to forecast year-end art prices, using higher frequency variables related to the stock and bond markets and to art market sentiment....