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Bidding Behavior In Trasury Bill Auctions
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Book Synopsis Bidding Behavior in Treasury Bill Auctions by : Daniel C. L. Hardy
Download or read book Bidding Behavior in Treasury Bill Auctions written by Daniel C. L. Hardy and published by International Monetary Fund. This book was released on 2000-06 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
Book Synopsis Bidding Behavior in Treasury Bill Auctions by : Daniel Hardy
Download or read book Bidding Behavior in Treasury Bill Auctions written by Daniel Hardy and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both 'buy and sell' and 'buy and hold' strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
Book Synopsis Treasury Bill Auctions by : Mr.Carlo Cottarelli
Download or read book Treasury Bill Auctions written by Mr.Carlo Cottarelli and published by International Monetary Fund. This book was released on 1994-11-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.
Book Synopsis Bidder Behavior in Multiple Unit Auctions by : Kjell G. Nyborg
Download or read book Bidder Behavior in Multiple Unit Auctions written by Kjell G. Nyborg and published by . This book was released on 1997 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bidder Behavior and Market Outcomes in Treasury Bill Auctions by : Berna Saniye Bayazitoglu
Download or read book Bidder Behavior and Market Outcomes in Treasury Bill Auctions written by Berna Saniye Bayazitoglu and published by . This book was released on 1997 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bidder Behavior in Uniform-pricing Auctions: an Empirical Study of the Danish Treasury Bill Auctions by : Heino Dossing
Download or read book Bidder Behavior in Uniform-pricing Auctions: an Empirical Study of the Danish Treasury Bill Auctions written by Heino Dossing and published by . This book was released on 2009 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.
Book Synopsis Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions by : Jesper Rüdiger
Download or read book Liquidity Shocks, Market Maker Turnover, and Bidding Behavior in Treasury Auctions written by Jesper Rüdiger and published by . This book was released on 2017 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Theory and Evidence on Reform of the Treasury's Auction Procedures by : Vincent Reinhart
Download or read book Theory and Evidence on Reform of the Treasury's Auction Procedures written by Vincent Reinhart and published by . This book was released on 1992 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions by : Eduardo Anthony G. Mariño
Download or read book Auction Performance, Strategic Supply Management, and Bidder Behavior in Treasury Bill Auctions written by Eduardo Anthony G. Mariño and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Flexible Estimation of Demand Schedules and Revenue Under Different Auction Formats by : Robert A. Feldman
Download or read book Flexible Estimation of Demand Schedules and Revenue Under Different Auction Formats written by Robert A. Feldman and published by . This book was released on 1995 with total page 32 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Behavioral biases of dealers in U.S. treasury auctions by : David Goldreich
Download or read book Behavioral biases of dealers in U.S. treasury auctions written by David Goldreich and published by . This book was released on 2004 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions by : Leonard Tchuindjo
Download or read book Pre-Auction Short Positions and Impacts on Primary Dealers' Bidding Behavior in US Treasury Auctions written by Leonard Tchuindjo and published by . This book was released on 2019 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We model the uniform-price US Treasury security auction as a static symmetric game of incomplete information in which each payer is a primary dealer who submits a demand schedule given two independent sources of private information - his pre-auction short position of the auctioned security, and his valuation of this security. Under the assumptions of constant marginal value and additive separability of his demand schedule, we obtain closed-form solutions for his optimal demand schedule, and we show how his pre-auction short position impacts his bidding behavior - in particular: the dealer's demand for the auctioned security increases with his pre-auction short position; the dealer's differential bid shading decreases with his pre-auction short position; and dealers with higher pre-auction short positions bid more aggressively, but assign lower values to the auctioned securities.
Book Synopsis Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions by : Kjell G. Nyborg
Download or read book Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions written by Kjell G. Nyborg and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a unique data set on multiunit auctions, which contains the actual demand schedules of the bidders as well as the auction awards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid dispersion, and the quantity demanded in response to increased uncertainty at the time of bidding. Second, we find that bid shading can be explained by a winner's curse-driven model in which each bidder submits only one bid, despite the fact that the bidders in our data set use much richer bidding strategies. Third, we explore the extent to which the received theories of multiunit auctions are able to offer insights into the bidder behavior we observe. Our empirical evidence is consistent with some of the predictions of the models of auctions that emphasize private information, the winner's curse, and the champion's plague. While the models of multiunit auctions serve as useful guideposts, our empirical findings also point to several new areas of research in multiunit auctions that are of policy and theoretical interest.
Book Synopsis Pre-Auction Inventory and Bidding Behavior by : Kristian Rydqvist
Download or read book Pre-Auction Inventory and Bidding Behavior written by Kristian Rydqvist and published by . This book was released on 2014 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction ownership on bidder behavior vary with the auction cycle and with uncertainty. We argue that post-auction short squeeze does not explain the observed relation between securities prices and ownership structure.
Book Synopsis Winner's Curse in Discriminatory Price Auctions by : Geir Hoidal Bjonnes
Download or read book Winner's Curse in Discriminatory Price Auctions written by Geir Hoidal Bjonnes and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner's curse. Bidders shade and disperse their bids more, and reduce quantity demanded, when the number of competing bidders increases. Tests suggest that there are some differences between the individual bidders. For instance, the most frequent bidders tend to disperse their bids more than other bidders, on average. Differences in bid shading and bidder profits can not be explained by bidder frequency or bidder size.
Book Synopsis Bidding Behavior in Trasury Bill Auctions by : Daniel C. Hardy
Download or read book Bidding Behavior in Trasury Bill Auctions written by Daniel C. Hardy and published by . This book was released on 2000 with total page 30 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Auction Format Matters by : Mr.Robert Alan Feldman
Download or read book Auction Format Matters written by Mr.Robert Alan Feldman and published by International Monetary Fund. This book was released on 1995-05 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the importance of auction format on bidding behavior and seller revenue, focusing on differences in performance under uniform-price and discriminatory-price formats. The analysis is based on a standard benchmark model from which empirically-testable hypotheses are derived on the optimal amount of bid shading that generates revenue equivalence between the two formats. Applying this model to data from the IMF gold auctions run in 1976-80, we find evidence of statistically significant shading in excess of the theoretically-derived optimum under the discriminatory format. This evidence suggests greater seller revenue under the uniform-price format.
