Are US treasury bills underpriced in the primary market?

Spindt, Paul A.; Stolz, Richard W.

doi:10.1016/0378-4266(92)90031-t

Cited by 46 publications

(23 citation statements)

References 19 publications

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“…First, a number of studies have shown that dealers are compensated for participating in the primary market in that Treasuries tend to be auctioned at prices lower than those in the secondary market, e.g., Cammack (1991), Spindt and Stolz (1992), and Simon (1994). Second, a negative relationship has been found between Treasury supply and prices.…”

Section: Asset Pricing Effects Of Dealer Position Managementmentioning

confidence: 99%

How do Treasury Dealers Manage their Positions?

Fleming

Rosenberg

2007

SSRN Journal

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractUsing data on U.S. Treasury dealer positions from 1990 to 2006, we find evidence of a significant role for dealers in the intertemporal intermediation of new Treasury security supply. Dealers regularly take into inventory a large share of Treasury issuance so that dealer positions increase during auction weeks. These inventory increases are only partially offset in adjacent weeks and are not significantly hedged with futures. Dealers seem to be compensated for the risk associated with these inventory changes by means of price appreciation in the subsequent week.

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Section: Asset Pricing Effects Of Dealer Position Managementmentioning

confidence: 99%

How do Treasury Dealers Manage their Positions?

Fleming

Rosenberg

2007

SSRN Journal

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“…24 Cammack (1991) and Spindt and Stolz (1992) identify the primary market dealers' diversity of opinion regarding the value of the bond issue as an important determinant of bond underpricing. The signaling theory argues that managers of good firms use underpricing as a way to signal the credit quality of their firms, while bad firms will not find it in their interest to do so.…”

Section: Discussion and Concluding Remarksmentioning

confidence: 99%

“…It was followed by Beatty and Ritter (1986), Loughran et al (1994), and Hoberg (2007), among many others. Cammack (1991), Spindt and Stolz (1992), and Goldreich (2007) investigate the underpricing in Treasury primary markets. See Weinstein (1978), Wasserfallen and Wydler (1988) and Cai et al (2007) for underpricing in corporate bond markets.…”

Section: Appendix Amentioning

confidence: 99%

Credit default swaps and the market for sovereign debt

Ismailescu

Phillips

2015

Journal of Banking & Finance

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“…In general, the empirical literature on Treasury bill auctions concerns either the relative performance of different auction mechanisms (Umlauf, 1993;Simon, 1994b;Heller and Lengwiler, 1997;Hortaçsu, 2002;Février et al, 2002), or the comparison of prices that result from the auction with prices that prevail on other government security markets (Cammack, 1991;Spindt and Stolz, 1992;Jegadeesh, 1993;Goldreich, 1997). However, few studies analyze empirical properties of market bid functions that could be used to underline stylized facts in Treasury auctions.…”

Section: Introductionmentioning

confidence: 98%