Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions

Matti Keloharju, Kjell Nyborg and Kristian Rydqvist

Journal of Finance, 2005, vol. 60, issue 4, 1865-1902

Abstract: We contribute to the debate on the optimal design of multiunit auctions by developing and testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently treating the auctions as a repeated game between itself and primary dealers. Bidder behavior and underpricing react to the volatility of bond returns in a way that suggests bidders adjust for the winner's curse.

Date: 2005
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Citations: View citations in EconPapers (67)

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https://doi.org/10.1111/j.1540-6261.2005.00782.x

Related works:
Working Paper: Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions (2004)
Working Paper: Strategic Behaviour and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:60:y:2005:i:4:p:1865-1902

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