Winner's Curse in Discriminatory Price Auctions: Evidence from the Norwegian Treasury Bill Auctions

Geir Bjønnes

No 3, SIFR Research Report Series from Institute for Financial Research

Abstract: This paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner’s curse. Bidders shade and disperse their bids more, and reduce quantity demanded, when the number of competing bidders increases. Tests suggest that there are some differences between the individual bidders. For instance, the most frequent bidders tend to disperse their bids more than other bidders, on average. Differences in bid shading and bidder profits can not be explained by bidder frequency or bidder size.

Keywords: Auctions; Treasury Securities; Winner's Curse (search for similar items in EconPapers)
JEL-codes: D44 G10 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2001-12-10
New Economics Papers: this item is included in nep-cfn and nep-fin
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (17)

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