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The Journal of Derivatives

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Inventory Effects, the Winner’s Curse, and Bid Shading in Credit Default Swap Auction Outcomes

Sudip Gupta and Rangarajan K. Sundaram
The Journal of Derivatives Winter 2015, 23 (2) 36-52; DOI: https://doi.org/10.3905/jod.2015.23.2.036
Sudip Gupta
is a visiting assistant professor of finance at the Kelley School of Business at Indiana University in Bloomington, IN.
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  • For correspondence: sudgupta@indiana.edu
Rangarajan K. Sundaram
is professor of finance at the Stern School of Business at New York University in New York, NY.
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  • For correspondence: rsundara@stern.nyu.edu
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The Journal of Derivatives: 23 (2)
The Journal of Derivatives
Vol. 23, Issue 2
Winter 2015
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Inventory Effects, the Winner’s Curse, and Bid Shading in Credit Default Swap Auction Outcomes
Sudip Gupta, Rangarajan K. Sundaram
The Journal of Derivatives Nov 2015, 23 (2) 36-52; DOI: 10.3905/jod.2015.23.2.036

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Inventory Effects, the Winner’s Curse, and Bid Shading in Credit Default Swap Auction Outcomes
Sudip Gupta, Rangarajan K. Sundaram
The Journal of Derivatives Nov 2015, 23 (2) 36-52; DOI: 10.3905/jod.2015.23.2.036
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  • Article
    • Abstract
    • THE CREDIT EVENT AUCTION: A BRIEF DESCRIPTION
    • DATA SOURCES
    • PRICE DISCOVERY IN THE AUCTION
    • BID SHADING AND THE PRICING “BIAS”
    • EXTENDING THE ANALYSIS
    • CONCLUSION
    • APPENDIX
    • ENDNOTES
    • REFERENCES
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