Valuing Dealers' Informational Advantage: A Study of Canadian Treasury Auctions
研究了加拿大国债拍卖中交易商利用客户订单信息获取竞争优势的情况，发现客户订单中的竞争信息贡献了交易商预期利润的13%至27%。
In many financial markets, dealers have the advantage of observing the orders of their customers. To quantify the economic benefit that dealers derive from this advantage, we study detailed data from Canadian Treasury auctions, where dealers observe customer bids while preparing their own bids. In this setting, dealers can use information on customer bids to learn about (i) competition, that is, the distribution of competing bids in the auction, and (ii) fundamentals, that is, the ex post value of the security being auctioned. We devise formal hypothesis tests for both sources of informational advantage. In our data, we do not find evidence that dealers are learning about fundamentals. We find that the "information about competition" contained in customer bids accounts for 13–27% of dealers' expected profits.