Bidder Behavior In Uniform Pricing Auctions An Empirical Study Of The Danish Treasury Bill Auctions
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Bidder Behavior In Uniform Pricing Auctions An Empirical Study Of The Danish Treasury Bill Auctions
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Author : Heino Dossing
language : en
Publisher:
Release Date : 2009
Bidder Behavior In Uniform Pricing Auctions An Empirical Study Of The Danish Treasury Bill Auctions written by Heino Dossing and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with categories.
In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.
Treasury Bill Auctions
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Author : Mr.Carlo Cottarelli
language : en
Publisher: International Monetary Fund
Release Date : 1994-11-01
Treasury Bill Auctions written by Mr.Carlo Cottarelli and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1994-11-01 with Business & Economics categories.
We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.
Strategic Behaviour And Underpricing In Uniform Price Auctions
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Author : Matti Keloharju
language : en
Publisher:
Release Date : 2002
Strategic Behaviour And Underpricing In Uniform Price Auctions written by Matti Keloharju and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2002 with Government securities categories.
Bidder Behavior In Multiple Unit Auctions
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Author : Kjell G. Nyborg
language : en
Publisher:
Release Date : 1997
Bidder Behavior In Multiple Unit Auctions written by Kjell G. Nyborg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1997 with Government securities categories.
Bidding Behavior In Treasury Bill Auctions
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Author : Daniel C. L. Hardy
language : en
Publisher: International Monetary Fund
Release Date : 2000-06
Bidding Behavior In Treasury Bill Auctions written by Daniel C. L. Hardy and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 2000-06 with Business & Economics categories.
Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
Auction Format Matters
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Author : Mr.Robert Alan Feldman
language : en
Publisher: International Monetary Fund
Release Date : 1995-05
Auction Format Matters written by Mr.Robert Alan Feldman and has been published by International Monetary Fund this book supported file pdf, txt, epub, kindle and other format this book has been release on 1995-05 with Business & Economics categories.
This paper evaluates the importance of auction format on bidding behavior and seller revenue, focusing on differences in performance under uniform-price and discriminatory-price formats. The analysis is based on a standard benchmark model from which empirically-testable hypotheses are derived on the optimal amount of bid shading that generates revenue equivalence between the two formats. Applying this model to data from the IMF gold auctions run in 1976-80, we find evidence of statistically significant shading in excess of the theoretically-derived optimum under the discriminatory format. This evidence suggests greater seller revenue under the uniform-price format.
Bidder Behavior In Multi Unit Auctions Evidence From Swedish Treasury Auctions
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Author : Kjell G. Nyborg
language : en
Publisher:
Release Date : 2011
Bidder Behavior In Multi Unit Auctions Evidence From Swedish Treasury Auctions written by Kjell G. Nyborg and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2011 with categories.
We analyze a unique data set on multiunit auctions, which contains the actual demand schedules of the bidders as well as the auction awards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid dispersion, and the quantity demanded in response to increased uncertainty at the time of bidding. Second, we find that bid shading can be explained by a winner's curse-driven model in which each bidder submits only one bid, despite the fact that the bidders in our data set use much richer bidding strategies. Third, we explore the extent to which the received theories of multiunit auctions are able to offer insights into the bidder behavior we observe. Our empirical evidence is consistent with some of the predictions of the models of auctions that emphasize private information, the winner's curse, and the champion's plague. While the models of multiunit auctions serve as useful guideposts, our empirical findings also point to several new areas of research in multiunit auctions that are of policy and theoretical interest.
Auctions Of Identical Objects With Single Unit Demands
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Author : Flavio M. Menezes
language : en
Publisher:
Release Date : 1999
Auctions Of Identical Objects With Single Unit Demands written by Flavio M. Menezes and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 1999 with Auctions categories.
Essays In The Empirical Analysis Of Auction Markets
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Author : Ali Hortaçsu
language : en
Publisher:
Release Date : 2001
Essays In The Empirical Analysis Of Auction Markets written by Ali Hortaçsu and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2001 with categories.
Bidding Behavior In Treasury Bill Auctions
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Author : Daniel Hardy
language : en
Publisher:
Release Date : 2006
Bidding Behavior In Treasury Bill Auctions written by Daniel Hardy and has been published by this book supported file pdf, txt, epub, kindle and other format this book has been release on 2006 with categories.
Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both 'buy and sell' and 'buy and hold' strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.