I develop and test a model that explains the gradual price decline observed ahead of anticipated sales such as Treasury auctions. Risk-averse agents expect a noisy increase in the net supply of a risky asset. They face a trade-off between hedging the noise with long positions and speculating with short positions. As a result of hedging, the price is above the expected price. As the noise decreases, agents hedge less and speculate more, and the price falls. Consistent with these predictions, meetings between the Treasury and dealers and auction announcements explain a 2.4 basis point increase in the yield on Italian Treasuries.

中文翻译：

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在国债拍卖之前进行交易

我开发并测试了一个模型，该模型可以解释在国债拍卖等预期销售之前观察到的价格逐渐下跌的情况。规避风险的代理人预计风险资产的净供应会大幅增加。他们面临着用多头头寸对冲噪音和用空头头寸进行投机之间的权衡。由于对冲，价格高于预期价格。随着噪音的减少，代理人的对冲减少，投机增加，价格下跌。与这些预测一致，财政部和交易商之间的会议以及拍卖公告解释了意大利国债收益率上升 2.4 个基点。