| 来源类型 | FEEM working papers "Note di lavoro" series |
| 规范类型 | 论文 |
| Behavioral Biases of Dealers in U.S. Treasury Auctions | |
| David Goldreich | |
| 发表日期 | 2004 |
| 出处 | Economy and Society |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | This paper provides evidence of bounded rationality by large dealers in U.S. Treasury auctions. I argue that these dealers use a heuristic of yield-space bidding which leads to biases manifested in three ways: they submit dominated bids, i.e., those that could be improved without raising the bidding price; they bid in a manner that disregards the unevenly spaced price grid; and they round bids in yield space. Consistent with bounded rationality, I show that bidders are less susceptible to bias when the cost of suboptimal bidding is high. While the literature provides substantial evidence of behavioral biases among individual investors, they are less well documented for large sophisticated institutions that are likely to be important for setting asset prices. These primary bond dealers who regularly bid for billions of dollars in Treasury bill auctions are precisely such economic agents. |
| 特色分类 | H63,H74,D44 |
| 关键词 | Treasury auctions,Behavioral finance |
| URL | https://www.feem.it/en/publications/feem-working-papers-note-di-lavoro-series/behavioral-biases-of-dealers-in-u-s-treasury-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/117094 |
| 推荐引用方式 GB/T 7714 | David Goldreich. Behavioral Biases of Dealers in U.S. Treasury Auctions. 2004. |
| 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 | ||
| NDL2004-143.pdf（790KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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