Underpricing in Discriminatory and Uniform-Price Treasury Auctions
比较美国统一价格与歧视性国债拍卖机制，发现统一价格拍卖的抑价程度比传统机制低一半，且实证数据与理论模型预测一致。
Abstract This paper compares the newer uniform-price U.S. Treasury auctions to the traditional discriminatory mechanism and examines the extent to which the auction mechanisms are responsible for underpricing. Empirically, I find that even for the newer uniform-price auctions, the average price received by the Treasury is less than the price of the same securities in the concurrent secondary market although this underpricing is reduced by half relative to the older mechanism. From the summary statistics released by the Treasury, I calibrate common value auction models for the two mechanisms and predict the level of underpricing in each auction. I find that the observed magnitude of underpricing in the auctions is consistent with the model's predictions.