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Price volatility in the secondary market and bidders’ heterogeneous behavior in Spanish Treasury auctions

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Álvarez González, Francisco and Mazón Calpena, Cristina (2016) Price volatility in the secondary market and bidders’ heterogeneous behavior in Spanish Treasury auctions. Empirical Economics, 50 (4). pp. 1435-1466. ISSN 1435-8921

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Official URL: https://doi.org/10.1007/s00181-015-0988-x



Abstract

We use multi-unit multi-bid common value auction models with private information to draw empirical implications on how bidding behavior in bond auctions is affected by secondary market price volatility, implications that we test using individual bidding data for 88 bond auctions held between 2003 and 2007 by the Spanish Treasury. The main novelty of the paper is that we analyze the effect of volatility in bidders heterogeneous behavior within an auction. We provide evidence that, as the theoretical models predict, the heterogeneity of bidders’ bid shading increases with volatility and that, on average across auctions, bid shading and bidders’ profit also increase with volatility.


Item Type:Article
Additional Information:

"The original publication is available at www.springerlink.com."

Uncontrolled Keywords:Multi-unit auctions; Bidding behavior; Treasury auctions; Spanish format; Intra-auction heterogeneity.
Subjects:Social sciences > Economics > Econometrics
Social sciences > Economics > Finance
JEL:C13, D44, G28
ID Code:55512
Deposited On:30 May 2019 12:29
Last Modified:11 Nov 2019 10:09

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