Treasury Auctions and Future Returns Part 2

The impact of the bid-to-cover ratio from Treasury auctions on the U.S. Dollar and U.S. equities

Hello!

Welcome back to the second post in this series. Last post, we explored how the success of a treasury auctions (as measured through the bid-to-cover ratio) impacts returns across Treasuries.

Part 2 extends the same event-study framework to two cross-asset benchmarks: the U.S. dollar (via UUP) and U.S. equities (via SPY).

The data, sample, and bucketing are identical to Part 1: 574 auctions across the 2-, 5-, 10-, and 30-year maturities from January 2015 to present, with auctions ranked as “weak” (bottom 20% BTC within their own maturity) or “strong” (top 20%). For each auction we measure the forward percentage return of UUP and SPY at the 1-day, 1-week, and 1-month horizons.

I have sent the updated code to your emails. Let’s get into it.