Event Details

Seminar - Winner’s Curse in Bond Markets

Dr Yoshimoto attended the University of Rochester for a Bachelor of Arts in Economics, graduating in 2005. He earned a Ph.D. in Economics from the University of California – Los Angeles (UCLA) in 2012. He began his current work at the University of Glasgow Business School in Fall 2012.

The objective of this study is to investigate whether treasury securities should be sold through the Spanish auction mechanism or through the traditional discriminatory- or uniform-price auction formats. We exploit the institutional set-up of four Chinese Government treasury security issuers: the Ministry of Finance (MOF) auctions off its securities through Spanish-, discriminatory-, and uniform-price formats; the Chinese Development Bank (CDB) and the Export-Import Bank (EIB) sell their securities through discriminatory- and uniform-price formats; and the Agriculture Development Bank (ADB) employs only the uniform-price format. Our study shows that the Spanish auction mechanism generates lower yield rates (or higher prices) than the discriminatory-price format in MOF auctions.

Moreover, the uniform-price auction format provides slightly lower yield rates than the discriminatory-price format in the CDB and EIB auctions. These results are different from the previous research, in which discriminatory- and uniform-price formats typically generate similar yield rates. In addition, various theoretical predictions based on the common-value framework are tested.

1. Author1: Klenio Barbosa (Insper Institute of Education and Research, Brazil)
2. Author2: Dakshina G. De Silva (Lancaster University, Management School)
3. Author3: Liyu Yang (Lancaster University, Management School)
4. Author4: Hisayuki Yoshimoto (University of Glasgow, Adam Smith Business School