중남미

We combine novel data and theory to show that asymmetric information among investors is an important friction in primary sovereign debt markets. We exploit a unique dataset of Mexican auctions for Cetes bonds. Auctions are pay-your-bid, and our data includes all bids made by all individual bidders from 2001 to 2017. We document that the largest bidders tend to bid at higher prices (that is, their bids are more likely to be accepted), but on average they do not pay more for the bonds they buy (that is, their accepted bids are executed at the average price). We construct a model in which investors can differ in wealth, risk-aversion, market power and/or information. Only heterogeneous information can qualitatively account for our findings. We calibrate the model and find that heterogenous information about rare disasters can quantitatively match key aspects of Cetes yield dynamics and bidding behavior.