| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Strategic Behavior and Underpricing in Uniform Price Auctions | |
| Kristian Rydqvist; Matti Keloharju; Kjell G. Nyborg | |
| 发表日期 | 2003 |
| 出处 | Economy and Society |
| 出版年 | 2003 |
| 语种 | 英语 |
| 摘要 | We study uniform price auctions using a dataset which includes individual bidders' demand schedules in Finnish Treasury auctions during the period 1992-99. Average underpricing amounts to .041% of face value. Theory suggests that underpricing may result from monopsonistic market power. We develop and test robust implications from this theory and ¯nd that it has little support in the data. For example, bidders' individual demand functions do not respond to increased competition in the manner predicted by the theory. We also present evidence that the Finnish Treasury acts strategically, taking into account the fact that the auctions are part of a repeated game between the Treasury and the primary dealers. Empirically, the main driver behind bidder behavior and underpricing is the volatility of bond returns. Since there is no evidence that bidders are risk averse, this suggests that private information and the winner's curse may play an important role in these auctions. |
| 特色分类 | D44,G10 |
| 关键词 | Multiunit auctions,uniform price auctions,treasury auctions,market power, |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/strategic-behavior-and-underpricing-in-uniform-price-auctions/ |
| 来源智库 | Fondazione Eni Enrico Mattei (Italy) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/116853 |
| 推荐引用方式 GB/T 7714 | Kristian Rydqvist,Matti Keloharju,Kjell G. Nyborg. Strategic Behavior and Underpricing in Uniform Price Auctions. 2003. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| NDL2003-025.pdf（630KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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