Abstract
Auctions of sovereign bonds are found to influence the market yield days before they take place and underpricing is usually spotted when their outcome is compared with contemporaneous market quotes. The objective of our research is to investigate deeper these two findings, by considering also the underlying macroeconomic conditions. We study Italy, which is one of the world’s largest debt issuers. Our results suggest that the so-called auction cycle emerges only at times of high volatility and they do not signal underpricing when an exact matching between the auctioned bond and the market quote used is ensured.
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