Evidence on Bidding Strategies and the Information in Treasury Bill Auctions
Journal of Political Economy
1991
The empirical results presented suggest that imperfect information is present in the Treasury bill market. The mean auction price for 3-month bills is, on average, four basis points below the comparable secondary market price for the 1973-84 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 auction, implying that these two markets aggregate traders' private information differently.
- DOI
- 10.1086/261742
- Volume
- 99 (1)
- Pages
- 100-130
- Language
- en
- Export
- BibTeX
- Sources
- openalex crossref