Strategic Behavior and Underpricing in Uniform Price Auctions: Evidence from Finnish Treasury Auctions
通过分析芬兰国债拍卖数据，检验统一价格拍卖理论对投标分布的预测，发现市场势力理论缺乏支持，而国债发行方策略性调整供给和投标者应对赢家诅咒的行为更符合数据。
ABSTRACT We contribute to the debate on the optimal design of multiunit auctions by developing and testing robust implications of the leading theory of uniform price auctions on the bid distributions submitted by individual bidders. The theory, which emphasizes market power, has little support in a data set of Finnish Treasury auctions. A reason may be that the Treasury acts strategically by determining supply after observing bids, apparently treating the auctions as a repeated game between itself and primary dealers. Bidder behavior and underpricing react to the volatility of bond returns in a way that suggests bidders adjust for the winner's curse.