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Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions


Nyborg, Kjell G; Sundaresan, Suresh M (1996). Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions. Journal of Financial Economics, 42(1):63-104.

Abstract

We use wehn-issued transactions data to assess the Treasury's current experiment with uniform auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, wehn-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information and lower the short squeeze. A direct comparison of markups in uniform and discriminatory auctions yields mixed results.

We use wehn-issued transactions data to assess the Treasury's current experiment with uniform auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, wehn-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information and lower the short squeeze. A direct comparison of markups in uniform and discriminatory auctions yields mixed results.

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44 citations in Web of Science®
54 citations in Scopus®
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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:1996
Deposited On:08 Aug 2012 11:11
Last Modified:05 Apr 2016 15:46
Publisher:Elsevier
Number of Pages:42
ISSN:0304-405X
Publisher DOI:https://doi.org/10.1016/0304-405X(95)00871-B
Other Identification Number:merlin-id:6930
Permanent URL: https://doi.org/10.5167/uzh-61724

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