| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP10112 |
| DP10112 Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions | |
| Kristian Rydqvist; Mark Wu | |
| 发表日期 | 2014-08-17 |
| 出版年 | 2014 |
| 语种 | 英语 |
| 摘要 | Many bidders enter the Government of Canada securities auctions with short 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 and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction ownership on bidder behavior vary with the auction cycle and with uncertainty. We argue that post-auction short squeeze does not explain the observed relation between securities prices and ownership structure. |
| 主题 | Financial Economics |
| 关键词 | Discriminatory auction When-issued market Ownership distribution market power Short squeeze |
| URL | https://cepr.org/publications/dp10112 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538945 |
| 推荐引用方式 GB/T 7714 | Kristian Rydqvist,Mark Wu. DP10112 Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions. 2014. |
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