Time:May 29th 2015 (Friday) 15:00-16:30
Location: Room 501, Jiageng 2
Moderator:Jun Ruan, Assistant Professor of IFAS
Topic: Pre-Auction Inventory and Bidding Behavior——Evidence from Canadian Treasury Auctions
Presenter: Mark Wu, Assistant Professor of Finance, Mario J. Gabelli School of Business, Roger Williams University
Abstract:
Many bidders enter the Government of Canada securities auctions with short or long pre-auction inventory. We _nd 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, and short bidders demand at least the quantity they need to cover. These bidding strategies imply less underpricing in auctions with aggregate pre-auction inventory tilted in one way or the other. The possibility of a post-auction short squeeze does not explain the bidding behavior of short and long bidders.
Personal Profile:
Dr. Mark Wu got his Ph.D. in Finance and B.S., cum laude in Applied Economics and Management from State University of New York at Binghamton and Cornell University respectively. His research interests include Treasury Auctions, Debt Management, Short Squeeze, Repo Markets and Fixed Income Securities. He’s published a paper in Accounting Education: An International Journal.
Paper
