Behavioral Biases of Dealers in U.S. Treasury Auctions

Arbeitspapier

This paper provides evidence of bounded rationality by large dealers in U.S. Treasury auctions. I argue that these dealers use a heuristic of yield-space bidding which leads to biases manifested in three ways: they submit dominated bids, i.e., those that could be improved without raising the bidding price; they bid in a manner that disregards the unevenly spaced price grid; and they round bids in yield space. Consistent with bounded rationality, I show that bidders are less susceptible to bias when the cost of suboptimal bidding is high. While the literature provides substantial evidence of behavioral biases among individual investors, they are less well documented for large sophisticated institutions that are likely to be important for setting asset prices. These primary bond dealers who regularly bid for billions of dollars in Treasury bill auctions are precisely such economic agents.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: Nota di Lavoro ; No. 143.2004

Klassifikation und Themen

• Klassifikation: Wirtschaft ; National Debt; Debt Management; Sovereign Debt ; State and Local Borrowing ; Auctions
• Thema: Treasury auctions ; Behavioral finance ; Staatspapier ; Auktion ; Anlageverhalten ; Begrenzte Rationalität ; Schätzung ; USA

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Goldreich, David
• Ereignis: Veröffentlichung
• (wer): Fondazione Eni Enrico Mattei (FEEM)
• (wo): Milano
• (wann): 2004

Weitere Informationen

• Handle: http://hdl.handle.net/10419/118019
• Letzte Aktualisierung: 10.03.2025, 11:42 MEZ