Keloharju, Matti; Nyborg, Kjell G.; Rydqvist, Kristian (2005). Strategic behavior and underpricing in uniform price auctions: Evidence from finnish treasury auctions. Journal of Finance, 60(4):1865-1902.
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We contribute to the debate on the optimal design of multiunit auctions by developingand testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently treating the auctions as a repeated game between itself and primary dealers. Bidder behavior and underpricing react to the volatility of bond returns in a way that suggests bidders adjust for the winner’s curse.
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|Item Type:||Journal Article, refereed, original work|
|Communities & Collections:||03 Faculty of Economics > Department of Banking and Finance|
|Date:||1 January 2005|
|Deposited On:||06 Jul 2012 14:39|
|Last Modified:||27 Nov 2013 16:38|
|Number of Pages:||38|
|Other Identification Number:||merlin-id:6928|
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