Behavioral Biases of Dealers in U.S. Treasury Auctions
نویسندگان
چکیده
منابع مشابه
Valuing Dealers’ Informational Advantage: A Study of Canadian Treasury Auctions∗
In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, i.e. th...
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We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a ``natural experiment'' causing an exogenous increase in the number of bidders in Treasury Auctions. We use structural estimates of bidders' private values to examine the effect of increased competition on auction revenue and compare bidder surplus before and after the auction....
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We investigate the role of competition on the outcome of Austrian Treasury auctions. EU accession by Austria provides a “natural experiment” causing an exogenous increase in the number of bidders in Treasury Auctions. Difference-in-difference estimates suggest that the increased number in bidders caused a significant drop in the yields Austria had to pay for newly issued debt. We use structural...
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Stock market is affected by news and information. If the stock market is not efficient, the reaction of stock price to news and information will place the stock market in overreaction and under-reaction states. Many models have been already presented by using different tools and techniques to forecast the stock market behavior. In this study, the reaction of stock price in the stock market was ...
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We exploit a unique feature of data from Canadian treasury bill auctions, in which some bidders have information about rivals’ bids, to develop a test if values are private. Information about a rival’s bid causes a bidder to bid differently when she has a private value than when her value depends on rivals’ information. In a divisible good setting, such as treasury bill auctions, bidders with p...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.545822