Winner's Curse in Discriminatory Price Auctions: Evidence from Norwegian Treasury Bill Auctions

Bjønnes, Geir Høidal

doi:10.2139/ssrn.290743

Cited by 26 publications

(19 citation statements)

References 17 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…The variable that has the most significant explanatory power is the level of the two week interbank rate relative to the auction's minimum bid rate. As the spread between these two rates fall, bidders 2 See also Bjønnes (2001) and Keloharju, Nyborg, and Rydqvist (2005).…”

mentioning

confidence: 99%

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

2005

View full text Add to dashboard Cite

show abstract

mentioning

confidence: 99%

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

2005

View full text Add to dashboard Cite

show abstract

“…However, the experimental evidence reported in Goswami et al (1996) shows that bidders manage to coordinate on underpricing, at least in environments where nonbinding preplay communication is possible. Evidence of underpricing is reported by Tenorio (1997) for foreign currency auctions in Zambia, by Kandel et al (1999) for IPO auctions in Israel, and by Bjonnes (2001) for Treasury auctions in Norway. Keloharju et al (2002) conÿrms the underpricing in Treasury auctions in Finland, but argues that it is not due to strategic manipulation.…”

Section: Introductionmentioning

confidence: 99%

Tilting the Supply Schedule to Enhance Competition in Uniform-Price Auctions

LiCalzi

Pavan²

2003

SSRN Journal

View full text Add to dashboard Cite

Uniform-price auctions of a divisible good in ÿxed supply admit underpricing equilibria, where bidders submit high inframarginal bids to prevent competition on prices. The seller can obstruct this behavior by tilting her supply schedule and making the amount of divisible good on o er change endogenously with its (uniform) price. Precommitting to an increasing supply curve is a strategic instrument to reward aggressive bidding and enhance expected revenue. A ÿxed supply may not be optimal even when accounting for the cost to the seller of issuing a quantity di erent from her target supply.

show abstract

“…Nyborg, Rydqvist, and Sundaresan (2002) examine bidder behavior in Swedish Treasury auctions. Bjønnes (2001aBjønnes ( , 2001b does the same for Norwegian auctions. Hansch and Saporta (1999) study the revenues of government bond market makers in the U.K.…”

Section: Introductionmentioning

confidence: 99%

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

Keloharju

Malkamäki²,

Nyborg

et al. 2002

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

Winner's Curse in Discriminatory Price Auctions: Evidence from Norwegian Treasury Bill Auctions

Cited by 26 publications

References 17 publications

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

Bidding and Performance in Repo Auctions: Evidence from ECB Open Market Operations

Tilting the Supply Schedule to Enhance Competition in Uniform-Price Auctions

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

Contact Info

Product

Resources

About