Pre-Auction Inventory and Bidding Behavior—An Analysis of Canadian Treasury Auctions

38 Pages Posted: 30 Sep 2014

See all articles by Kristian Rydqvist

Kristian Rydqvist

State University of New York at Binghamton - School of Management; Centre for Economic Policy Research (CEPR); European Corporate Governance Institute (ECGI)

Mark Wu

SUNY at Binghamton - School of Management

Date Written: August 2014

Abstract

Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction ownership on bidder behavior vary with the auction cycle and with uncertainty. We argue that post-auction short squeeze does not explain the observed relation between securities prices and ownership structure.

Keywords: discriminatory auction, market power, ownership distribution, short squeeze, when-issued market

JEL Classification: D44, G10

Suggested Citation

Rydqvist, Kristian and Wu, Mark, Pre-Auction Inventory and Bidding Behavior—An Analysis of Canadian Treasury Auctions (August 2014). CEPR Discussion Paper No. DP10112, Available at SSRN: https://ssrn.com/abstract=2501584

Kristian Rydqvist (Contact Author)

State University of New York at Binghamton - School of Management ( email )

P.O. Box 6015
Binghamton, NY 13902-6015
United States
607-777-2673 (Phone)
607-777-4422 (Fax)

Centre for Economic Policy Research (CEPR)

London
United Kingdom

European Corporate Governance Institute (ECGI) ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

Mark Wu

SUNY at Binghamton - School of Management ( email )

P.O. Box 6015
Binghamton, NY 13902-6015
United States

Do you have negative results from your research you’d like to share?

Paper statistics

Downloads
0
Abstract Views
621
PlumX Metrics