Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions
Beetsma,R.M.W.J. Giuliodori,M. Hanson,J. de Jong,Frank
Beetsma,R.M.W.J.
Giuliodori,M.
Hanson,J.
de Jong,Frank
Abstract
Building on a unique dataset of Eurozone sovereign debt auctions, this paper analyzes the determinants of their bid-to-cover ratios, which is the most common measure of the outcome of an auction. We find that the secondary market yield on the same maturity instrument, past domestic and foreign bid-to-cover ratios and occasionally the number of primary dealers tend to exert a positive effect on the current bid-to-cover ratio, while the opposite is the case for the supply and the volatility of the yield. The results thus suggest that past information helps to predict the demand in auctions.
Description
Publisher Copyright: © 2020 The Authors
Date
2020-09
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Keywords
Eurozone public debt auctions, bid-to-cover, maturity, demand, supply, yield, volatility, G11 - Portfolio Choice ; Investment Decisions, G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates, G14 - Information and Market Efficiency ; Event Studies ; Insider Trading, G18 - Government Policy and Regulation
Citation
Beetsma, R M W J, Giuliodori, M, Hanson, J & de Jong, F 2020, 'Determinants of the bid-to-cover ratio in Eurozone sovereign debt auctions', Journal of Empirical Finance, vol. 58, pp. 96-120. https://doi.org/10.1016/j.jempfin.2020.05.005
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info:eu-repo/semantics/openAccess