Treasury Auction Bids and the Salomon Squeeze
发现国债拍卖价格平均略高于二级市场买价，但拍卖利润与银行和交易商中标比例系统相关，并分析了所罗门兄弟持有94%的两年期票据的二级市场价格显著高于竞争性价格。
ABSTRACT Recent press accounts claim that collusion is common practice in Treasury auctions and that as a result the auction profits are excessive. But, this paper finds that the auction prices are on average marginally higher than the secondary market bid prices. The auction profits, however, are systematically related to the total fraction of winning bids tendered by banks and dealers. The postauction prices of the two‐year notes in which Salomon Brothers had a 94 percent holding are also examined. The secondary market prices of these notes were significantly higher than the estimated competitive prices in the four‐week postissue period.