An Empirical Study of Taiwan Government Bond Auction and the "Winner''s Curse"

• Main Authors: Hsu, Ling-Pei, 許鈴佩
• Other Authors: Tsun-Siou Lee, Hsiaw-Chan Yeh
• Format: Others
• Language: zh-TW
• Published: 1997
• Online Access: http://ndltd.ncl.edu.tw/handle/82315745127965936258

碩士 === 國立臺灣大學 === 財務金融學系 === 85 === An Empirical test on Taiwan government bond auction is reported, focusing on differences in performance uner uniform- price versus diwcriminatory-price formats and the Winner''s Curse". When the assumption of Revenue Equivalent Theorem is released, the auction format would affect biddingbehavior and seller''s revenue. This study examines Taiwan government bond auction for period 1995-96. The auctioneer''s revenues from government bond primary market as a discriminatory auction versus a uniform-price auction are compared, results suggest the uniform-price auction will yield higher revenue thought it''s not significant. Results also suggest that under discriminatory- price format bidders account for the winner''s curse and bid morecautiously, and finally this results in the centralizationof bidding distribution.