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Estadísticas › Intraday y microestructura de mercado › Ciclo de subastas

Treasury prices fell into auctions and rose after them, until it stopped replicating

2-year note: 8.89+8.892-year note5-year note: 22.54+22.545-year note10-year note: 23.84+23.8410-year note

Return differential after minus before the auction, over five days, in basis points. t statistics 2.69, 3.67 and 1.78. January 1980 to June 2008. The two-year is highlighted because it is where the published strategy test was run and where the t statistic is cleanest relative to the size of the move.

Two-year note yields peaked on auction day and sat below that level both before and after. The round trip paid 8.62 basis points over ten days with a Sharpe of 1.08. A 2025 study finds no pre-auction trend at all.

8.62 bpTen-day strategy P&L on the two-year note, t = 3.65, Sharpe 1.08
1.46 bpEstimated round-trip transaction cost, about 35 bp a year
+49 bpEquity spillover: CRSP value-weighted over five days around two-year auctions
-1.04 bpWhat a 2025 study finds over three days, with no pre-auction trend

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