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Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions

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  • Rydqvist, Kristian
  • Wu, Mark

Abstract

Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We find that bidding strategies and auction performance vary with pre-auction ownership structure. Short and long bidders bid higher average prices and demand larger quantities than do bidders with neutral pre-auction inventory. The effects of pre-auction ownership on bidder behavior vary with the auction cycle and with uncertainty. We argue that post-auction short squeeze does not explain the observed relation between securities prices and ownership structure.

Suggested Citation

  • Rydqvist, Kristian & Wu, Mark, 2014. "Pre-Auction Inventory and Bidding Behavior?An Analysis of Canadian Treasury Auctions," CEPR Discussion Papers 10112, C.E.P.R. Discussion Papers.
    • Handle: RePEc:cpr:ceprdp:10112
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    References listed on IDEAS

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    More about this item

    Keywords

    Discriminatory auction; When-issued market; Ownership distribution; market power; Short squeeze;
    All these keywords.

    JEL classification:

    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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