Bidder Profitability Under Uniform Price Auctions and Systematic Reopenings: The Case of Italian Treasury Bonds

Scalia, Antonio

doi:10.2139/ssrn.1804020

Cited by 17 publications

(18 citation statements)

References 14 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Note that now mispricing is not referred to as the difference between theoretical and market prices. On the contrary, there is mispricing when the prices at which GS are sold in auction are higher (overpricing, see Pacini, 2007) or lower (underpricing, see Drudi and Massa, 2005;Scalia, 1998;and Pacini, 2006) than the when-issued or secondary market prices. While underpricing is interpreted as a reward for the Specialists intermediation activity between the primary and 40 Longstaff (1993) shows that the value of the call in the CIR framework is increasing in the time to expiration only if this is large enough.…”

Section: The Mispricing Between the Primary And The Secondary Gs Marketsmentioning

confidence: 99%

“…A visible effect is the mispricing detected when the prices at which Treasury bonds are sold in auction are higher (overpricing, see Pacini, 2007) or lower (underpricing, see Drudi and Massa, 1995;Scalia, 1998;and Pacini, 2006) than the when-issued 6 or secondary market prices. Since Specialists get almost the entire auction, the sign of mispricing presumably depends on the above-mentioned obligations and privileges.…”

mentioning

confidence: 99%

See 1 more Smart Citation

The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening

Coluzzi

2008

SSRN Journal

View full text Add to dashboard Cite

Section: The Mispricing Between the Primary And The Secondary Gs Marketsmentioning

confidence: 99%

mentioning

confidence: 99%

The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening

Coluzzi

2008

SSRN Journal

View full text Add to dashboard Cite

“…Cammack (1991), Nyborg and Sundaresan (1996), and Malvey and Archibald (1998) study U.S. Treasury auctions. Umlauf (1993), Hamao and Jegadeesh (1998), and Scalia (1998) study Mexican, Japanese, and Italian auctions, respectively. Nyborg, Rydqvist, and Sundaresan (2002) examine bidder behavior in Swedish Treasury auctions.…”

Section: Introductionmentioning

confidence: 99%

A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999

Keloharju¹,

Malkamäki²,

Nyborg³

et al. 2003

SSRN Journal

View full text Add to dashboard Cite

This paper presents a descriptive analysis of the primary and secondary market for Finnish treasury bonds. The paper focuses on three issues. First, we report basic descriptive statistics such as auction volumes and secondary market yields and volumes. Second, we estimate the revenues earned by primary dealers from the treasury bond market. Third, we analyse the development of the price of the auctioned bonds, relative to other benchmark bonds, around the time of the auction. We find evidence of a price decrease in the auctioned bond series before the auction and a price increase after the auction. This pattern is strongest for 1992-1994 when Treasury funding needs were heavy and secondary market trading volume of treasury bonds was modest.

show abstract

“…In these countries the Treasuries use a discriminatory auction and determine supply ex-post. Scalia (1997) and Bjonnes (2001) report that the Treasury auctions in Norway and Italy, respectively, are uniform price auctions with variable supply.…”

mentioning

confidence: 99%

Auctions with variable supply: Uniform price versus discriminatory

Damianov¹,

Becker

2010

European Economic Review

View full text Add to dashboard Cite

We examine an auction in which the seller determines the supply after observing the bids. We compare the uniform price and the discriminatory auction in a setting of supply uncertainty. Uncertainty is caused by the interplay of two factors: the seller's private information about marginal cost, and the seller's incentive to sell the profit-maximizing quantity given the received bids. In every symmetric mixed strategy equilibrium, bidders submit higher bids in the uniform price auction than in the discriminatory auction. In the two-bidder case this result extends to the set of rationalizable strategies. As a consequence, we find that the uniform price auction generates higher expected revenue for the seller and higher trade volume.Key Words: sealed bid multi-unit auctions, variable supply auctions, discriminatory and uniform price auctions, subgame perfect equilibria, rationalizable strategies.JEL Classification: D44.

show abstract

Bidder Profitability Under Uniform Price Auctions and Systematic Reopenings: The Case of Italian Treasury Bonds

Cited by 17 publications

References 14 publications

The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening

The Pricing of the Option Implicitly Granted by the Italian Treasury to the Specialists in the Reserved Auction Reopening

A Descriptive Analysis of the Finnish Treasury Bond Market 1991-1999

Auctions with variable supply: Uniform price versus discriminatory

Contact Info

Product

Resources

About