RT Journal Article
T1 Price volatility in the secondary market and bidders’ heterogeneous behavior in Spanish Treasury auctions
A1 Álvarez González, Francisco
A1 Mazón Calpena, Cristina
AB 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.
PB Springer Nature
SN 1435-8921
YR 2016
FD 2016
LK https://hdl.handle.net/20.500.14352/23615
UL https://hdl.handle.net/20.500.14352/23615
LA eng
NO "The original publication is available at www.springerlink.com."
NO Ministerio de Educación y Ciencia (MEC)
DS Docta Complutense
RD 18 abr 2025