Bidding and Information: Evidence from Gilt-Edged Auctions

The effects of quantitative easing on the volatility of the gilt-edged market

“…One of these variables takes the value one on a day on which bonds were issued and zero otherwise, and the other variable takes the value one if the particular bond is itself experiencing further issuance. Evidence that secondary offerings affect gilt prices can be found in Breedon and Ganley (2000), who studied the period 1997-98 and Ahmad and Steeley (2008)…”

QE and the Gilt Market: a Disaggregated Analysis

“…There is a relatively large literature that has looked at the effect of conventional Treasury auctions on asset prices (see e.g. Sundaresan (1994) for a review of the earlier US literature and Breedon and Ganley (2000) for the UK evidence). A more recent paper by Lou et al.…”

A New Empirical Study of the Mexican Treasury Securities Primary Auctions: Is There More Underpricing?

“…14 bp sig 5.2 bp Bikhchandani et al (1994) 1 and 3 months US Tbills, 1990-1991 Announced forward market price -Average allocation price 1bp, not sig Simon (1994) US T-Notes, 1990T-Notes, -1991 Average auction rate -Forward market at the time of the auction 0.37 bp, sig Buttiglione & Drudi (1994) Italian BTPs, CCTs andCROs, 1989-1992, uniform Average secondary market price at the day of the auction -Maximum allocation price 7 bp, no tests Malvey, Archibald & Flynn (1996) US T-Notes, 1992-1995, discriminator anduniform Average allocation price -Forward market rate at the time of the auction Uniform: -0.22bp, not sig Discriminatory: 0.4bp, not sig Nyborg & Sundaresan (1996) US Tbills, notes andbonds, 1992-1993, discriminatory anduniform Average allocation rate -Forward market rate 30 minutes before the auction Breedon & Ganley (1996) UK gilts, 1987-1995 Accepted bid-actual market price 4.66, sig (difference with average accepted price) Gordy (1996) Portuguese bonds, 1988-1993, discriminatory Reserve rate -Average wining rate Druddi & Massa (1997) Italian BTPs and CCTs, uniform Secondary market price just before the auction -Maximum allocation price 4 bp, not sig Scalia (1997) Italian BTPs andCCTs, 1995-1996, uniform Forward market price just before the auction -Average allocation price 4.2 bp, not sig Hamao & Jegadeesh (1997) Japanese bonds, 1989-1995, discriminatory Average auction rate -Secondary market rate the day after de auction 2.8 bp, not sig Berg (1997) Norway Bank certificates, 1993Bank certificates, -1995 Average auction rate -Secondary market reference rate the day after the auction 5.7 bp, no tests Heller & Lengwiler (1998) Swiss treasury…”

“…For example, studies about UK's Italy's, and Spain's securities' auctions test for the effects on underpricing from increasing the securities' liquidity through various means. For the UK's gilts (sold with a discriminatory format), Breedon and Ganley (1996) get the standard result of the auction stock being underpriced relative both to the parent and the when-issued price in non-fungible auctions (i.e., auctions where the tranche trades on a slightly different basis from the parent for a period after the auction) and that when-issued trades deviate substantially from the parent even after the auction; but in fully-fungible auctions (i.e., auctions where the parent and the tranche are identical on auction day), introduced by the Bank of England in early 1994, no significant underpricing is found and the when-issued trades very close to the parent throughout. Scalia (1997) analyzes the uniform price auctions of Italian Treasury bonds, where each issue is reopened regularly in order to improve information aggregation and increase the availability of each security.…”