Bond Losses in Post‐Auction Resale Markets: Causes and Consequences
研究了国债拍卖后转售市场中一级交易商的盈亏情况，发现损失普遍且金融危机期间严重，流动性约束是主因，且损失与金融部门价值相关，歧视性拍卖下损失更高。
ABSTRACT This paper examines the primary‐dealers' returns in post‐auction resale markets for treasury bonds, assesses the prevalence of losses and gains and their consequences for the financial sector. Using a novel database that tracks more than 2350 primary‐to‐secondary transactions, we find that bond losses for primary‐dealers are pervasive and were severe during the financial crisis. Our results indicate that liquidity constraint is a major source of the bond losses. We also find that financial sector value is correlated with these losses. Using an alternating market experiment, we show that primary‐to‐secondary losses are higher under discriminatory auctions as compared to uniform auctions.