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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | Strategic behavior and underpricing in uniform price auctions: Evidence from finnish treasury auctions |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Journal of Finance |
| Publisher | Wiley-Blackwell |
| Geographical Reach | international |
| ISSN | 0022-1082 |
| Volume | 60 |
| Number | 4 |
| Page Range | 1865 - 1902 |
| Date | 2005 |
| Abstract Text | We contribute to the debate on the optimal design of multiunit auctions by developingand testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently treating the auctions as a repeated game between itself and primary dealers. Bidder behavior and underpricing react to the volatility of bond returns in a way that suggests bidders adjust for the winner’s curse. |
| Official URL | http://www.jstor.org/stable/3694856 |
| Digital Object Identifier | 10.1111/j.1540-6261.2005.00782.x |
| Other Identification Number | merlin-id:6928 |
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