Most empirical work in treasury auctions use aggregate auction results
to examine bidding behavior. We investigate the strategies of bidders in
Brazilian treasury auctions using both aggregate and bidder level data and
find that more detailed information allows great improvements in the
understanding of bidding behavior in treasury auctions. Classifying bidders
according to characteristics regarding their institutional category and
their nationality, we find evidence of distinct bidding behavior across
types of bidders. Moreover, in line with previous evidence in auctions of
Japanese government securities, we find that foreign bidders seem to obtain
higher profits than those of national institutions. These results suggest
that caution should be exercised in the interpretation of testes of bidding
behavior that do not take differences in bidder’s characteristics into
account and (or) that assume that treasury securities are pure common-value
goods. We find that Brazilian auctions are relatively illiquid as higher
competition yields lower bidders’ discounts. Contrary to theoretical
predictions of both common- and private-value auctions, we also find that
bidders obtain lower profits in auctions with higher dispersion in bidders’
valuations.
Estratégias dos licitantes nos leilões do Tesouro Nacional
