Evidence on Bidding Strategies and the Information in Treasury Bill Auctions

Bibliographic Data

ID10176598
AuthorsElizabeth B Cammack (corresponding author)
Year1991
Volume99
Issue1
Pages100-130
Publication date1991-02-01
Peer ReviewedYes
Open AccessNo
TypeARTICLE
VenueJournal of Political Economy (JOURNAL)
Journal identifiersISSN: 0022-3808 • E-ISSN: 1537-534X
PublisherUniversity of Chicago Press (PUBLISHER • US)
DOI10.1086/261742
OpenAlexW1982740490
LanguageEN
Citations received7
References cited5

The empirical results presented suggest that imperfect information is present in the Treasury bill market. The mean auction price for three-month bills is, on average, four basis points below the comparable secondary market price of the 1973 period. This "downward biasing" is positively related to the anticipated amount of dispersion of auction bids. This suggests that auction bidders use a bidding strategy that accounts for their lack of agreement about the value of the bill. Further, the secondary bill market learns from the bill action, implying that these two markets aggregate traders' private information differently. Copyright 1991 by University of Chicago Press

Auction theory · Bidding · Business · Common value auction · Dutch auction · Economics · Financial economics · Microeconomics · Monetary economics · Perfect information · Price dispersion · Private information retrieval · Revenue equivalence · Secondary market · Treasury · Value (mathematics · Auction Theory and Applications · Finance · Financial Markets and Investment Strategies · Monetary Policy and Economic Impact

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