This paper analyzes bidding behavior in Mexican Treasury bill auctions for the period 1986–1991. The Mexican auction rules resemble those used in U.S. Treasury bill auctions closely. Results suggest the presence of collusion among large bidders throughout a large portion of the sampling period and the presence of information asymmetries between small and large bidders. Results also suggest that bidders account for the winner's curse and that participants bid more cautiously when uncertainty is high. Bidders' profits fell dramatically in 1990 when the Treasury substituted uniform for discriminatory pricing to combat collusion and to increase auction revenues.

This paper studies the effects of transaction taxes on the behavior of Swedish equity returns during the 1980–1987 period. Sweden provides an excellent laboratory-style setting for such a study, as taxes were imposed for political purposes rather than to alter the behavior of the stock market. Volatility did not decline in response to the introduction of taxes although stock price levels and turnover did. Large proportions of trading activity migrated overseas to London when the tax rate was increased to 2% in 1986.

ABSTRACT This paper examines the empirical implications of an information asymmetry between primary and secondary dealers in the U.S. Government Securities market. This asymmetry arises because primary dealers are permitted to trade through all brokers operating in the marketplace while secondary dealers are restricted to trade through only a subset of brokers. Brokers distribute valuable information over video screens to their trading clients including dealers' up‐to‐date bid‐ask spreads and recent transaction prices. As such, all brokers' video screen information is available to primary dealers, while only a subset of brokers' information is available to secondary dealers. Empirical analyses detect the resulting information asymmetry.

This paper examines the empirical implications of an information asymmetry between primary and secondary dealers in the U.S. government securities market. This asymmetry arises because primary dealers are permitted to trade through all brokers operating in the market place while secondary dealers are restricted to trade through only a subset of brokers. Brokers distribute valuable information over video screens to their trading clients including dealers' up-to-date bid-ask spreads and recent transaction prices. As such, all brokers' video screen information is available to primary dealers, while only a subset of brokers' information is available to secondary dealers. Empirical analyses detect the resulting information asymmetry.