We use when-issued transactions data to assess the Treasury's current experiment with uniform auctions. When-issued volume is higher under uniform as compared to discriminatory auctions, suggesting a higher information release, which should reduce pre-auction uncertainty and the winner's curse. Under uniform auctions, when-issued volatility falls after the auction and again after the outcome announcement. The pattern is the opposite for discriminatory auctions. This is further evidence that uniform auctions increase pre-auction information and lower the short squeeze. A direct comparison of markups in uniform and discriminatory auctions yields mixed results.
Nyborg, Kjell, and M. Suresh Sundaresan. "Discriminatory Versus Uniform Treasury Auctions: Evidence from When-Issued Transactions." Journal of Financial Economics 42, no. 1 (September 1996): 105-32.
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