题 目：Anticipated and Repeated Shocks in Liquid Markets
报告人：Hongjun Yan（Yale School of Management）
时 间：3月17日（周四）14:00-15:30pm
地 点： 光华新楼216教室
摘 要：This paper examines the impact of U.S. Treasury note auctions on the secondary Treasury market, repo markets, and the equity market. Since both the exact dates and amounts of the auctions are announced in advance, these shocks are largely anticipated. Nevertheless, we find that Treasury security prices in the secondary market drop significantly before auctions and recover shortly after. A simple self-financed strategy that exploits this return pattern yields an annualized Sharpe ratio of above one. These results, together with further evidence in both Treasury and repo markets, appear to be consistent with the hypothesis of primary dealers’ limited risk-bearing capacity and the imperfect capital mobility of Treasury investors (e.g., U.S. and foreign governments, insurance companies). Our evidence suggests that these frictions are of first-order importance even in those most liquid financial markets. The estimated costs for issuing Treasury notes are between 9 and 18 basis points of the auction size, an order of magnitude larger than the estimates of auction markups in the literature, which usually calculates the markup as the difference between the auction price and a benchmark price on the auction day, and hence ignores the drop of the benchmark price before auctions. As an example, our estimated cost of issuing Treasury notes alone is over half a billion dollars in 2007.
