Resumen
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.