Hedging winner's curse with multiple bids: Evidence from the Portuguese treasury bill auction

Review of Economics and Statistics

Volumn 81, Issue 3, 1999, Pages 448-465

  Gordy, Michael B ^a  

^a NONE

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0033420874     PISSN: 00346535     EISSN: None     Source Type: Journal    
DOI: 10.1162/003465399558373     Document Type: Article

References (44)

1. Ausubel, Lawrence M., "An Efficient Ascending-Bid Auction for Multiple Objects," working paper (June 1997).
2. Ausubel, Lawrence M., and Peter C. Cramton, "Demand Reduction and Inefficiency in Multi-Unit Auctions," working paper 96-07, University of Maryland College Park (1996).
3. Back, Kerry, and Jaime F. Zender, "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies 6 (Winter, 1993), 733-764.
4. Bartolini, Leonardo, and Carlo Cottarelli, "Treasury Bill Auctions: Issues and Uses," Working Paper WP/94/135, International Monetary Fund (November, 1994).
5. Bayazitoglu, Berna S., and Nicholas M. Kiefer, "Empirical Analysis of Bidder Behavior and Market Outcomes in Turkish Treasury Bill Auctions," working paper 97-01, Cornell University Center for Analytic Economics (January, 1997).
6. Bazerman, Max, and William Samuelson, "The Winner's Curse: An Empirical Investigation," In Reinhard Tietz (ed), Aspiration Levels in Bargaining and Economic Decision Making (New York: Springer-Verlag, 1983), 186-200.
7. Branco, Fernando, "Optimal Auctions of a Divisible Good." Ph.D. dissertation, Massachusetts Institute of Technology (1992).
8. Brannman, Lance, J. Douglas Klein, and Leonard W. Weiss, "The Price Effects of Increased Competition in Auction Markets," this REVIEW LXIX (1) (1987), 24-32.
9. Cammack, Elizabeth B., "Evidence on Bidding Strategies and the Information in Treasury Bill Auctions," Journal of Political Economy 99(1) (1991), 100-130.
10. Campbell, John Y., Andrew W. Lo, and A. Craig MacKinlay, The Econometrics of Financial Markets (Princeton University Press, 1997).
11. Capen, E. C., R. V. Clapp, and W. M. Campbell, "Competitive Bidding in High-Risk Situations," Journal of Petroleum Technology 23 (1971), 641-653.
12. Demsetz, Rebecca S., Marc R. Saidenberg, and Philip E. Strahan, "Agency Problems and Risk Taking at Banks," Revision of Federal Reserve Bank of New York Research Paper 9709 (March, 1998).
13. Duan, Jin-Chuan, and Jean-Guy Simonato, "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Scientific Series 95s-44, CIRANO (October, 1995).
14. Engelbrecht-Wiggans, Richard, and Charles M. Kahn, "Multi-Unit Auctions with Uniform Prices," Economic Theory 12 (2) (September, 1998), 227-258.
15. Gilley, Otis W., and Gordon V. Karels, "The Competitive Effect in Bonus Bidding: New Evidence," Bell Journal of Economics 12 (Autumn, 1981), 637-648.
16. Gordy, Michael B., "Multiple Bids in a Multiple-Unit Common-Value Auction," working paper (1996).
17. Hausman, Jerry A., Bronwyn H. Hall, and Zvi Griliches, "Econometric Models for Count Data with an Application to the Patents - R&D Relationship," Econometrica 52(4) (1984), 909-938.
18. Hendricks, Kenneth, Robert H. Porter, and Bryan Boudreau, "Information, Returns, and Bidding Behavior in OCS Auctions: 1954-1969," Journal of Industrial Economics 35(4) (June, 1987), 517-542.
19. Honoré, Bo E., "Trimmed LAD and Least Squares Estimation of Truncated and Censored Regression Models with Fixed Effects," Econometrica, 60(3) (May, 1992), 533-565.
20. Jordan, Bradford D., and Susan D. Jordan, "Salomon Brothers and the May 1991 Treasury Auction: Analysis of a Market Corner," Journal of Banking and Finance 20(1) ( 1996), 25-40.
21. Kagel, John H., and Dan Levin, "The Winner's Curse and Public Information in Common Value Auctions," American Economic Review 76(5), (December, 1986), 894-920.
22. Matthews, Steven, "Information Acquisition in Discriminatory Auctions," in Marcel Boyer and Richard E. Kihlstrom (eds.), Bayesian Models in Economic Theory, Vol. 5 of Studies in Bayesian Econometrics (Amsterdam: Elsevier Science Publishers, 1984), 181-207.
23. McAfee, R. Preston, and John McMillan, "Auctions and Bidding," Journal of Economic Literature, XXV (Summer, 1987a), 699-738.
24. _ "Auctions with a Stochastic Number of Bidders," Journal of Economic Theory 43 (1987b), 1-19.
25. Milgrom, Paul R., "Auctions and Bidding: A Primer," Journal of Economic Perspectives, 3(3), (1989), 3-22.
26. Milgrom, Paul R., and Robert J. Weber, "A Theory of Auctions and Competitive Bidding," Econometrica 50 (1982a), 1089-1122.
27. _ "The Value of Information in a Sealed-Bid Auction," Journal of Mathematical Economics 10(1982b), 105-114.
28. Newey, Whitney K., "A Method of Moments Interpretation of Sequential Estimators," Economics Letters 14 (1984), 201-206.
29. _ "Semiparametric Estimation of Limited Dependent Variable Models with Endogenous Explanatory Variables," Annales de l'INSEE 59/60 (1985), 219-236.
30. Noussair, Charles, "Equilibria in a Multi-Object Uniform Price Sealed Bid Auction with Multi-Unit Demands," Economic Theory 5(2) (March, 1995), 337-351.
31. Nyborg, Kjell G., Kristian Rydqvist, and Suresh Sundaresan, "Bidder Behavior in Multiple Unit Auctions: Evidence from Swedish Treasury Auctions," PaineWebber working paper, series PW-97-16, Columbia Business School (June, 1997).
32. Rieber, Michael, "The Primary Market for United States Treasury Bills." Ph.D. dissertation, Massachusetts Institute of Technology (1963).
33. _ "Bids, Bid Patterns and Collusion in the Auction Market for Treasury Bills," Journal of Law and Economics X (1967), 149-168.
34. Scott, James H., and Charles Wolf, "The Efficient Diversification of Bids in Treasury Bill Auctions," this REVIEW 61 (1979), 280-287.
35. Simon, David P., "Markups, Quantity Risk, and Bidding Strategies at Treasury Coupon Auctions," Journal of Financial Economics 35 (1) (February, 1994), 43-62.
36. Smith, Richard J., and Richard W. Blundell, "An Exogeneity Test for a Simultaneous Equation Tobit Model with an Application to Labor Supply," Econometrica 54 (3) (1986), 679-685.
37. Tenorio, Rafael, "On Strategic Quantity Bidding in Multiple Unit Auctions," Journal of Industrial Economics 45(2) (June, 1997), 207-217.
38. _ "Multiple Unit Auctions with Strategic Price-Quantity Decisions," Economic Theory (forthcoming).
39. Thaler, Richard H., "Anomalies: The Winner's Curse," Journal of Economic Perspectives 2(1) (1988), 191-202.
40. Vasicek, Oldrich, "An Equilibrium Characterization of the Term Structure," Journal of Financial Economics 5 (1977), 177-188.
41. Wang, James J. D., and Jaime F. Zender, "Auctioning Divisible Goods," working paper (May, 1996).
42. Wilson, Robert, "Auctions of Shares," Quarterly Journal of Economics 93 (1979), 675-689.
43. Wooldridge, Jeffrey A., "Distribution-Free Estimation of Some Nonlinear Panel Data Models," Journal of Econometrics 90(1) (1999), 77-97.
44. _ "Quasi-Likelihood Methods for Count Data," in M. H. Pesaran and Peter Schmidt, (eds), Handbook of Applied Econometrics, Vol. II (Blackwell, 1996).