ANOMALOUS BIDDING IN SHORT‐TERM TREASURY BILL AUCTIONS*
研究发现美国短期国库券拍卖程序导致到期日低于72天的票据存在价格等价的贴现率类别，市场参与者常选择非最低贴现率投标，这种低效投标与数量短缺有关而非利润机会未利用。
Abstract We show that Treasury bill auction procedures create classes of price‐equivalent discount rates for bills with less than 72 days to maturity. We argue that it is inefficient for market participants to bid at a discount rate that is not the minimum rate in its class. The inefficiency of bidding at other than the minimum rate is related to a quantity shortfall rather than an unexploited profit opportunity. Auction results for weekly offerings of four‐week bills and occasional offerings of cash management bills show that market participants frequently bid at inefficient rates. However, they are more likely to bid at efficient rates than chance would suggest.