Secondary market pricing behaviour around UK bond auctions

Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve,...

Full description

Saved in:
Bibliographic Details
Published in:Applied financial economics 2008-05, Vol.18 (9), p.691-699
Main Authors: Ahmad, Farooq, Steeley, James M.
Format: Article
Language:English
Subjects:
Auctions
Bond market
Bond markets
Government bonds
Price formation
Rates of return
Secondary markets
Securities prices
Stock prices
Studies
Treasury bonds
United Kingdom
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:Using an event study approach, this article reports evidence that the UK Treasury bond market displayed anomalous pricing behaviour in the secondary market both immediately before and after auctions of seasoned bonds. Using a benchmark return derived from the behaviour of the underlying yield curve, the market offered statistically and economically significant excess returns, around the auctions held between 1992 and 2004. A cross-sectional analysis of the cumulative excess returns shows that the excess demand at the auctions is a key determinant of this excess return.
ISSN:0960-3107
1466-4305
DOI:10.1080/09603100701250268