Secondary market pricing behaviour around UK bond auctions

Farooq Ahmad, James M. Steeley

Research output: Contribution to journalArticlepeer-review

Abstract

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.
Original languageEnglish
Pages (from-to)691-699
Number of pages9
JournalApplied Financial Economics
Volume18
Issue number9
DOIs
Publication statusPublished - May 2008

Keywords

  • UK
  • Treasury bond market
  • anomalous pricing behaviour
  • secondary market
  • auctions of seasoned bonds

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