Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions

Kristian Rydqvist and Mark Wu

No 10112, CEPR Discussion Papers from C.E.P.R. Discussion Papers

Abstract: 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.

Keywords: Discriminatory auction; When-issued market; Ownership distribution; market power; Short squeeze (search for similar items in EconPapers)
JEL-codes: D44 G10 (search for similar items in EconPapers)
Date: 2014-08
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