Download or read book Divisible Good Auctions with Asymmetric Information written by Emmanuel Morales-Camargo and published by . This book was released on 2012 with total page 55 pages. Available in PDF, EPUB and Kindle. Book excerpt: An experimental approach is used to compare bidding behavior and auction performance in uniform-price and discriminatory auctions when there is incomplete information concerning the common value of the auctioned good. In a symmetric information environment, the different auction formats provide the same average revenue. However, when information is asymmetric the discriminatory auction results in higher average revenue than the uniform-price auction. The volatility of revenue is higher in the uniform-price auctions in all treatments. The results, therefore, provide support for the use of the discriminatory format. Subject characteristics and measures of experience in recent auctions are found to be useful in explaining bidding behavior.
Download or read book Market Power and Welfare in Asymmetric Divisible Good Auctions written by Carolina Manzano and published by . This book was released on 2016 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a divisible good uniform-price auction that features two groups each with a finite number of identical bidders. Equilibrium is unique, and the relative market power of a group increases with the precision of its private information but declines with its transaction costs. In line with empirical evidence, we find that an increase in transaction costs and/or a decrease in the precision of a bidding group's information induces a strategic response from the other group, which thereafter attenuates its response to both private information and prices. A "stronger" bidding group -- which has more precise private information, faces lower transaction costs, and is more oligopsonistic -- has more market power and so will behave competitively only if it receives a higher per capita subsidy rate. When the strong group values the asset no less than the weak group, the expected deadweight loss increases with the quantity auctioned and also with the degree of payoff asymmetries. Market power and the deadweight loss may be negatively associated.
Download or read book Asset Pricing under Asymmetric Information written by Markus K. Brunnermeier and published by OUP Oxford. This book was released on 2001-01-25 with total page 262 pages. Available in PDF, EPUB and Kindle. Book excerpt: Asset prices are driven by public news and information that is often dispersed among many market participants. These agents try to infer each other's information by analyzing price processes. In the past two decades, theoretical research in financial economics has significantly advanced our understanding of the informational aspects of price processes. This book provides a detailed and up-to-date survey of this important body of literature. The book begins by demonstrating how to model asymmetric information and higher-order knowledge. It then contrasts competitive and strategic equilibrium concepts under asymmetric information. It also illustrates the dependence of information efficiency and allocative efficiency on the security structure and the linkage between both efficiency concepts. No-Trade theorems and market breakdowns due to asymmetric information are then explained, and the existence of bubbles under symmetric and asymmetric information is investigated. The remainder of the survey is devoted to contrasting different market microstructure models that demonstrate how asymmetric information affects asset prices and traders' information , which provide a theoretical explanation for technical analysis and illustrate why some investors "chase the trend." The reader is then introduced to herding models and informational cascades, which can arise in a setting where agents' decision-making is sequential. The insights derived from herding models are used to provide rational explanations for stock market crashes. Models in which all traders are induced to search for the same piece of information are then presented to provide a deeper insight into Keynes' comparison of the stock market with a beauty contest. The book concludes with a brief summary of bank runs and their connection to financial crises.
Download or read book When Less Potential Demand is More Revenue written by Orly Sade and published by . This book was released on 2005 with total page 46 pages. Available in PDF, EPUB and Kindle. Book excerpt: We show that asymmetry in bidders' capacity constraints plays an important role in inhibiting collusion and promoting competitive outcomes in multi-unit common value auctions. This effect seems to be related to the increased difficulty of coordination when there are fundamental differences between bidders. The discriminatory auction is shown to be more susceptible to collusion than is the uniform-price auction and consequently asymmetry in capacity constraints plays a more important role in the discriminatory auction. These results suggest that the revenue maximizing auction format may depend heavily on a variety of factors specific to particular auction settings.
Download or read book Value of Information in Endogenously Asymmetric Dynamic Auction written by Sudip Gupta and published by . This book was released on 2011 with total page 53 pages. Available in PDF, EPUB and Kindle. Book excerpt: Design of selling strategies for heterogenous divisible goods auctions with endogenous informational asymmetry is an important policy question. This problem can be analyzed empirically using the distributions of ex- ante valuations of bidders, the value of information and the degree of informational asymmetry. In this paper, I estimate these by a three step procedure from a dynamic auction model with endogenous informational asymmetry. The seller sells multiple goods via a sequence of first price auctions. While bidders are ex-ante symmetric, the first period winner has an informational advantage in the second period bidding game and becomes a strong bidder. This endogenous asymmetry leads to excessive entry and overbidding in the first period relative to a one period game. I characterize the equilibrium in terms of the observed bid distribution and entry behavior. I apply a three step estimation procedure to data on OCS oil tract auctions. I find that the federal government is only ecovering 23% of the 'strong' buyers' willingness to pay in the second period. Bidders perceive the value of information to be at most 12% of their first period's informational rent. A new semiparametric structural test cannot reject the hypothesis of the strong bidder's informational superiority in the second period and sets it at 18% relative to the weak bidder. I use the estimates to design alternate mechanisms and empirically show that government's revenue increases when the asymmetry is taken into account in allocating the goods.
Download or read book Asymmetric Information in Common value Auctions and Contests written by Lucas A. Rentschler and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In common-value auctions and contests economic agents often have varying levels of information regarding the value of the good to be allocated. Using theoretical and experimental analysis, I examine the effect of such information asymmetry on behavior. Chapter II considers a model in which players compete in two sequential contests. The winner of the first contest (the incumbent) privately observes the value of the prize, which provides private information if the prizes are related. Relative to the case where the prizes are independent, the incumbent is strictly better off, and the other contestants (the challengers) are strictly worse off. This increases the incentive to win the first contest such that the sum of expected effort over both contests increases relative to the case of independent prizes. Chapter III experimentally considers the role of asymmetric information in first-price, sealed-bid, common-value auctions. Bidders who observe a private signal tend to overbid relative to Nash equilibrium predictions. Uninformed bidders, however, tend to underbid relative to the Nash equilibrium. Chapter IV examines asymmetric information in one-shot common-value all-pay auctions and lottery contests from both experimental and theoretical perspectives As predicted by theory, asymmetric information yields information rents for the informed bidder in both all-pay auctions and lottery contests.
Download or read book A Walrasian Theory of Sovereign Debt Auctions with Asymmetric Information written by Harold Linh Cole and published by . This book was released on 2018 with total page 67 pages. Available in PDF, EPUB and Kindle. Book excerpt: How does investors' information about a country's fundamentals, and the fact that this information may be asymmetrically held, affect a country's financing cost? Motivated by this question, and by the observation that sovereign bonds are usually auctioned in large lots to a large number of potential investors, we develop a novel model of auctions with asymmetric information that relies on price-taking and rational expectations. We first characterize sovereign bond prices for different degrees of asymmetric information under two commonly-used protocols: discriminatory-price auctions and uniform-price auctions. We show that there is trade-off between these protocols if information is sufficiently asymmetric: expected bond yields are higher when pricing is discriminatory, but yield volatility is higher when pricing is uniform. We then study endogenous information acquisition and find that (i) discriminatory auctions may display multiple welfare-ranked informational equilibria, and (ii) investors are less likely to acquire information in uniform auctions.
Download or read book Common Value Auctions with Asymmetric Bidder Information written by Priyodorshi Banerjee and published by . This book was released on 2008 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt: We study common value auctions with two asymmetrically informed bidders using a simple binary model. A unique, generically asymmetric, mixed-strategy equilibrium exists for the first-price auction. Bidders get positive payoffs, with a superiorly informed bidder getting a higher payoff. One of the bidders submits a higher bid than the other on average: aggressive bidding is not necessarily associated with inferiority of information. A continuum of pure-strategy equilibria exist for the second-price auction. If bidders play the unique symmetric equilibrium strategies, second-price auctions are generically revenue-dominant. A change in the degree of asymmetry in general has an ambiguous effect on revenue.
Download or read book Putting Auction Theory to Work written by Paul Milgrom and published by Cambridge University Press. This book was released on 2004-01-12 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides a comprehensive introduction to modern auction theory and its important new applications. It is written by a leading economic theorist whose suggestions guided the creation of the new spectrum auction designs. Aimed at graduate students and professionals in economics, the book gives the most up-to-date treatments of both traditional theories of 'optimal auctions' and newer theories of multi-unit auctions and package auctions, and shows by example how these theories are used. The analysis explores the limitations of prominent older designs, such as the Vickrey auction design, and evaluates the practical responses to those limitations. It explores the tension between the traditional theory of auctions with a fixed set of bidders, in which the seller seeks to squeeze as much revenue as possible from the fixed set, and the theory of auctions with endogenous entry, in which bidder profits must be respected to encourage participation.
Download or read book Electricity Auctions written by Luiz Maurer and published by World Bank Publications. This book was released on 2011 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Virtually every country in the world faces the challenge of designing the regulatory and financial mechanisms that ensure cost-effective procurement of generation to supply electricity demand. Historically, procurement of generation has been particularly difficult in the emerging economies of Asia, Latin America and Africa. High and usually volatile load growth rates, limited access to financing and immature electricity markets have presented obstacles that have introduced challenges to the procurement process. More recently, environmental concerns regarding land use, impact on biodiversity, indigenous populations, and greenhouse gasses emissions have added layers of complexity. Over the last 7 years, auctions for long-term electricity contracts have been getting increased attention within the electricity sector community as thet have emerged as a successful mechanism to procure new generation capacity. Among the reasons for such widespread interest is the large amount of capacity that has been already contracted from diverse technologies (conventional generation, large hydroelectric plants, renewable), under a variety of innovative auction arrangements and mechanisms, sometimes with multiple buyers and sellers taking part in the process. Auctions have been attracting a broad range of investors, from large established companies to new local and foreign independent power producers, and first-time power system investors. This book presents a comprehensive overview of the international experience in electricity auctions, focusing on the procurement of long-term electricity contracts to foster new generation capacity. To this end, several relevant case studies were selected. While focus is given to emerging countries, insightful experiences from developed markets are reported as well. The book reveals the subtlety and complexity of trading and contracting for firm generation in the current power industry and the multiplicity of formats that the corresponding regulatory instruments may adopt. Lessons learned - both positive and negative - regarding policy formulation and implementation which should be of interest to policy makers, government authorities, regulators and power sector stakeholders.
Download or read book Asset Pricing Under Asymmetric Information written by Markus Konrad Brunnermeier and published by Oxford University Press, USA. This book was released on 2001 with total page 264 pages. Available in PDF, EPUB and Kindle. Book excerpt: The role of information is central to the academic debate on finance. This book provides a detailed, current survey of theoretical research into the effect on stock prices of the distribution of information, comparing and contrasting major models. It examines theoretical models that explain bubbles, technical analysis, and herding behavior. It also provides rational explanations for stock market crashes. Analyzing the implications of asymmetries in information is crucial in this area. This book provides a useful survey for graduate students.
Download or read book Common Value All Pay Auctions with Asymmetric Information written by Ezra Einy and published by . This book was released on 2013 with total page 24 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Handbook of Econometrics written by Zvi Griliches and published by Elsevier. This book was released on 1983 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: The Handbook is a definitive reference source and teaching aid for econometricians. It examines models, estimation theory, data analysis and field applications in econometrics.
Download or read book Handbook of Econometrics written by James Joseph Heckman and published by Elsevier. This book was released on 2007 with total page 1013 pages. Available in PDF, EPUB and Kindle. Book excerpt: As conceived by the founders of the Econometric Society, econometrics is a field that uses economic theory and statistical methods to address empirical problems in economics. It is a tool for empirical discovery and policy analysis. The chapters in this volume embody this vision and either implement it directly or provide the tools for doing so. This vision is not shared by those who view econometrics as a branch of statistics rather than as a distinct field of knowledge that designs methods of inference from data based on models of human choice ...
Download or read book Auctioning Divisible Goods written by James J. D. Wang and published by . This book was released on 1999 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We consider a model of divisible good auctions that allows for both private information and uncertain noncompetitive demand. By placing restrictions on preferences and distributions, we are able to obtain explicit solutions for linear, symmetric strategy equilibria. The model allows us to examine the effect of price discrimination on the competitive bidders' strategies, the extent to which the bidders' private information is reflected in the stop-out price, and the seller's expected revenue. We find that the seller's expected revenue is increasing in the amount of price discrimination.
Download or read book Sequential Asymmetric Auctions with Endogenous Participation written by Flavio M. Menezes and published by . This book was released on 1994 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Auctions of Homogeneous Goods written by Marek Pycia and published by . This book was released on 2021 with total page 84 pages. Available in PDF, EPUB and Kindle. Book excerpt: The pay-as-bid (or discriminatory) auction is a prominent format for selling homogenous goods such as treasury securities and commodities. We prove the uniqueness of its pure-strategy Bayesian Nash equilibrium and establish a tractable representation of equilibrium bids. Building on these results we analyze the optimal design of pay-as-bid auctions, as well as uniform-price auctions (the main alternative auction format), allowing for asymmetric information. We show that supply transparency and full disclosure are optimal in pay-as-bid, though not necessarily in uniform-price; pay-as-bid is revenue dominant and might be welfare dominant; and, under assumptions commonly imposed in empirical work, the two formats are revenue and welfare equivalent.
