Pre-auction inventory and bidding behavior: Evidence from Canadian Treasury auctions

被引：2

作者：

Rydqvist, Kristian ^{[1
,2
]}

Wu, Mark ^{[3
]}

机构：

[1] SUNY Binghamton, Binghamton, NY 13902 USA

[2] CEPR, London, England

[3] Roger Williams Univ, Bristol, RI 02809 USA

来源：

JOURNAL OF FINANCIAL MARKETS | 2016年 / 30卷

关键词：

Discriminatory auction; When-issued market; Ownership distribution; Market power; Short squeeze; STRATEGIC ANALYSIS; MARKET; MANIPULATION; CORNERS; BUBBLES;

D O I：

10.1016/j.finmar.2016.07.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Bidders enter the Government of Canada securities auctions with short, neutral, 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, demand larger quantities, and submit fewer bids than do bidders with neutral pre-auction inventory. These bidding strategies imply less underpricing in auctions with aggregate pre-auction inventory tilted in one way or the other. We analyze whether a concern for post-auction short squeeze influences observed bidding strategies and auction performance. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：78 / 102

页数：25

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