M. Suresh Sundaresan

Discriminatory Versus Uniform Treasury Auctions: Evidence from When-Issued Transactions

Coauthor(s): Kjell Nyborg.

Download:

Adobe Acrobat PDF

Abstract:
We use when-issued transactions data to assess the Treasury's current experiment with uniform auctions. When-issued volume is higher under uniform as compared to discriminatory auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, when-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information and lower the short squeeze. A direct comparison of markups in uniform and discriminatory auctions yields mixed results.

Close Window