Treasury auction method and underpricing: Evidence from Iceland
Abstract The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for a...
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Online Access: | http://dx.doi.org/10.1111/jfir.12428 https://onlinelibrary.wiley.com/doi/pdf/10.1111/jfir.12428 |
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crwiley:10.1111/jfir.12428 2024-09-15T18:13:17+00:00 Treasury auction method and underpricing: Evidence from Iceland Noel, Antoine Wu, Mark 2024 http://dx.doi.org/10.1111/jfir.12428 https://onlinelibrary.wiley.com/doi/pdf/10.1111/jfir.12428 en eng Wiley http://onlinelibrary.wiley.com/termsAndConditions#vor Journal of Financial Research ISSN 0270-2592 1475-6803 journal-article 2024 crwiley https://doi.org/10.1111/jfir.12428 2024-08-13T04:18:26Z Abstract The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform‐price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants. Article in Journal/Newspaper Iceland Wiley Online Library Journal of Financial Research |
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English |
description |
Abstract The Central Bank of Iceland replaced the discriminatory method used for auctioning treasury securities with the uniform‐price method in 2009. We analyze underpricing before and after this institutional reform with a sample of 516 auctions organized from 2000 to 2018. After controlling for auction characteristics and financial market conditions, we find that underpricing is lower under the uniform‐price method. However, this underpricing decline does not translate into a reduction in sovereign issuance cost. The emergence of overpricing, observed in the late part of our sample, coincides with the growing importance of commissions paid to primary dealers. Our results provide practical implications for governments, regulators, and market participants. |
format |
Article in Journal/Newspaper |
author |
Noel, Antoine Wu, Mark |
spellingShingle |
Noel, Antoine Wu, Mark Treasury auction method and underpricing: Evidence from Iceland |
author_facet |
Noel, Antoine Wu, Mark |
author_sort |
Noel, Antoine |
title |
Treasury auction method and underpricing: Evidence from Iceland |
title_short |
Treasury auction method and underpricing: Evidence from Iceland |
title_full |
Treasury auction method and underpricing: Evidence from Iceland |
title_fullStr |
Treasury auction method and underpricing: Evidence from Iceland |
title_full_unstemmed |
Treasury auction method and underpricing: Evidence from Iceland |
title_sort |
treasury auction method and underpricing: evidence from iceland |
publisher |
Wiley |
publishDate |
2024 |
url |
http://dx.doi.org/10.1111/jfir.12428 https://onlinelibrary.wiley.com/doi/pdf/10.1111/jfir.12428 |
genre |
Iceland |
genre_facet |
Iceland |
op_source |
Journal of Financial Research ISSN 0270-2592 1475-6803 |
op_rights |
http://onlinelibrary.wiley.com/termsAndConditions#vor |
op_doi |
https://doi.org/10.1111/jfir.12428 |
container_title |
Journal of Financial Research |
_version_ |
1810450943191285760 |