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 clean sample contains 454 nominal fixed-rate Treasury auctions across the 2-, 5-, 10-, and 30-year maturities from January 2015 through April 2026. Within each maturity, I rank auctions as “weak” (bottom 20% BTC) or “strong” (top 20%) and measure SPY and UUP returns on the same day, after one week, and after one month.
Reviewed and updated 26 July 2026