Evidence on Bidding Strategies and the Information in Treasury Bill Auctions
实证发现三个月期国库券拍卖均价低于二级市场价，偏差与投标分散度正相关，表明投标者因信息不完全而调整策略，且二级市场从拍卖中学习信息。
The empirical results presented suggest that imperfect information is present in the Treasury bill market. The mean auction price for three-month bills is, on average, four basis points below the comparable secondary market price of the 1973 period. This "downward biasing" is positively related to the anticipated amount of dispersion of auction bids. This suggests that auction bidders use a bidding strategy that accounts for their lack of agreement about the value of the bill. Further, the secondary bill market learns from the bill action, implying that these two markets aggregate traders' private information differently. Copyright 1991 by University of Chicago Press.