Underwriting Government Debt Auctions: Auction Choice and Information Production
研究了一种两阶段政府证券销售机制，其中交易商先承销再拍卖，利用2006-2013年专有数据发现承销拍卖能预测转售和投标压价，且在某些情况下歧视性拍卖优于统一价格拍卖。
In this paper, we examine a novel two-stage mechanism for selling government securities, wherein the dealers underwrite in the first stage the sale of securities, which are auctioned in stage 2 via either a discriminatory auction (DA) or a uniform price auction (UPA). Using proprietary data on auctions during 2006–2013, we find that (a) the first stage underwriting auction generates significant information, including predicting the likelihood of devolvement, and bid shading, and (b) the outcome of the underwriting auction may generate enough asymmetry amongst bidders that may make DA dominate UPA in certain counterfactual situations. We document that the unique two-stage auction design provides a market-driven mechanism to simultaneously insure against auction failures and produce information about the quality of the underlying issue. This paper was accepted by Karl Diether, finance.