Download or read book Essays in the Empirical Analysis of Auction Markets written by Ali Hortaçsu and published by . This book was released on 2001 with total page 390 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Empirical Analysis of Auctions written by Bjarne Brendstrup and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Structural Analysis of Selection and Search written by Matthew Loren Gentry and published by . This book was released on 2012 with total page 123 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on Structural Analysis of Procurement Auctions written by Bin Yu and published by . This book was released on 2007 with total page 144 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation addresses the empirical analysis of procurements based on the auction theory, which is known as the structural-form analysis of procurement auctions.

Download or read book Essays in Empirical Industrial Organization and Auctions written by Shumpei Goke and published by . This book was released on 2022 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In this dissertation, I investigate various aspects of auction design problems. In Chapter 1, I study secret reserve prices in auctions that are partially binding in the sense that the sellers can accept bids below them. Such a reserve price has a bite only when the winning bid exceeds it, in which case the winning bid is accepted without seller's action. This work investigates the motivation for this puzzling practice that many real-world auctions take, such as wholesale used-car auctions. I estimate a structural model of ascending auctions using the auction data in the wholesale used-car market. To microfound seller's decision of the secret reserve price, I posit that the seller has uncertainty as to the value of the item when she sets the reserve price and that this uncertainty is resolved after she observes the auction price. I compare the status quo with two counterfactual auction formats: (i) no reserve prices and the seller gets to accept or reject every winning bid, and (ii) the seller commits to the secret reserve price. I observe very little difference among them in terms of probability of trade, seller's payoff and revenue. I discuss how the current format may be rationalized as reducing transaction costs for asking sellers' confirmation of all winning bids and avoiding sellers' cognitive cost of committing to a reserve price. The work in Chapter 2 is a joint work with Gabriel Y. Weintraub, Ralph A. Mastromonaco, and Samuel S. Seljan. Weintraub and I formulated the research questions and laid out steps for the research project in close collaboration, and I performed all the data analysis with the advice from Weintraub. Mastromonaco and Seljan provided Weintraub and me with the dataset and the necessary domain knowledge. In this work, we study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions and exploiting a staggered adoption by different publishers (sellers) of first-price auctions (FPAs), instead of the traditional second-price auctions (SPAs). Event study regression estimates indicate that, immediately after the auction format change, the revenue per sold impression (price) jumped considerably for the treated publishers relative to the control publishers, ranging from 35% to 75% of the pre-treatment price level of the treatment group. Further, we observe that in later auction format changes the increase in the price levels under FPAs relative to price levels under SPAs dissipates over time, reminiscent of the celebrated revenue equivalence theorem. We take this as evidence of initially insufficient bid shading after the format change rather than an immediate shift to a new Bayesian Nash equilibrium. Prices then went down as bidders learned to shade their bids. We also show that bidders' sophistication impacted their response to the auction format change. Our work constitutes one of the first field studies on bidders' responses to auction format changes, providing an important complement to theoretical model predictions. As such, it provides valuable information to auction designers when considering the implementation of different formats. In Chapter 3, I study the efficient design of mortgage foreclosure auctions. Lenders with delinquent mortgages recover their lending by foreclosure, which is a legal process to sell the mortgage property via public auction. In the U.S., mortgage lenders are allowed to bid in such foreclosure auctions, and they win in such auctions very frequently. I study the question of why mortgage lenders win in most of those auctions. I develop a theoretical model of ascending auctions with private values. I find that the lender's optimal bidding strategy is the same as the optimal reserve price of an auction seller, if it is below the debt balance. In other words, the lender exercises monopoly power as would an auction seller, up to the remaining debt. This increases the probability that the lender wins the auction, as third-party bidders' optimal strategy is to drop out of the auction when the price reaches their respective valuations of the mortgage property. The monopoly power that the mortgage confers to the lender also implies that the resulting allocation of the mortgage property may be inefficient. To resolve such inefficiency, I derive a mechanism that achieves efficient allocation of the foreclosed property.

Download or read book An Empirical Analysis of Price Formation in Double Auction Markets written by Timothy N. Cason and published by . This book was released on 1990 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays on the Structural Analysis of Auction Markets written by Marleen Renske Marra and published by . This book was released on 2019 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This thesis presents new results that make significant contributions to the structural analysis of auction markets. One chapter develops a methodology to study welfare and revenue impacts of fees in auction platforms. The impacts of fees are theoretically ambiguous as the platform faces a ``two-sided market'' with network effects; increased seller entry raises its value to bidders, and vice versa. The chapter develops and solves a structural model with endogenous bidder and seller entry, seller selection, and costly listing inspection. It also exploits an original dataset with 15 months of wine auctions to study these issues. Relevant model primitives are shown to be identified in the auction platform model from observed variation in reserve prices, transaction prices, and the number of bidders. The proposed estimation strategy combines methods from the auction and discrete choice literatures. Model estimates reveal significant network effects, and it is shown with counterfactual policy simulations that fee structures that subsidize bidders make all parties better off. Implications for competition policy are discussed as well. Another chapter focuses on nonparametric identification in English auctions with absentee bidding, in which the number of bidders is unknown. The chapter exploits additional identifying variation from drop-out values of absentee bidders and develops a novel nonparametric identification approach based on the stochastic spacing of order statistics. In combination with a shape restriction the method delivers bounds on both the latent valuation distribution and expected consumer surplus. The value of the proposed method is highlighted by showing that it identifies informative bounds on policy-relevant model primitives in a sample of traditional English auctions collected from the online bidding portal of Sotheby's, which does not contain the number of bidders and their final bids. The thesis ends by providing directions for future research.

Download or read book Empirical Essays on the Efficiency of Heterogeneous Good Auction written by Thomas A. Martin (IV.) and published by . This book was released on 2010 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: A recent pursuit of the auction design literature has been the development of an auction mechanism which performs well in a multi-good setting, when the goods are not substitutes. This work began in earnest with the Federal Communications Commission spectrum license auctions in the early nineties and continues to this day. In a setting in which goods are not substitutes, the value of one good depends non-negatively on the quantities of other goods that are won. This type of interdependent value structure has proven difficult to account for in auction design. However, the need for mechanisms that account for such a value structure hinges on the magnitude of the interdependence, whose computation is an empirical exercise. I identify a setting in which to perform this computation. I develop an empirical methodology that allows me to recover bidders' value functions in a multi-good auction setting. This methodology allows me to assess the magnitude of any interdependence in the goods? value structure. Since the auction setting that I analyze is a variation of the standard uniform price auction, which has been adapted for a multi-good setting, I am able to measure the benefit of having a direct revelation mechanism. This counterfactual study is performed by maximizing the value of the auction using the recovered bidder value functions. I find evidence that there is an interdependent value structure in the setting. The counterfactual auction finds that the standard uniform price auction, adapted to a multi-good setting, performs poorly in the presence of such a value structure. The setting for this analysis is an auction for financial transmission rights held in Texas in 2002. The auction involved twenty two firms and collected almost $70 million in revenue. This research is the first to empirically assess efficiency in this type of auction setting.

Download or read book Three Essays on Auction Markets written by Nicholas James Shunda and published by . This book was released on 2008 with total page 312 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in the Empirical Analysis of Markets written by Philipp Adrian Fritzsche and published by . This book was released on 2020 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Essays in Auction Theory and Financial Economics written by PAULO BRAULIO DE SOUZA COUTINHO and published by . This book was released on 2013 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt: The primary focus of this dissertation is to study the connections between the auction mechanism used to sell Treasuries securities and the secondary market activity, when auction participants can trade the auctioned securities among themselves. I use a game theoretically framework where participants understand the market rules and behave strategically so as to maximize their returns. The model is capable of explaining puzzling empirical patterns from the U.S. Treasury market and provides policy implications. In the third chapter of the dissertation I use tools developed by the auction theory to analyze corporate organizations capital structure decisions. For a firm's perspective, using debt to finance new investments could be cheaper than using equity. Nevertheless, a higher debt level increases the risks the investment will be liquidated before it yields the promised dividends. The chapter studies firms' optimal decisions when facing the trade-off between debt and equity and its implications on equilibrium prices and interest rates on the financial market.

Download or read book Advances In Quantitative Analysis Of Finance And Accounting Vol 3 Essays In Microstructure In Honor Of David K Whitcomb written by Cheng Few Lee and published by World Scientific. This book was released on 2006-04-18 with total page 269 pages. Available in PDF, EPUB and Kindle. Book excerpt: News Professor Cheng-Few Lee ranks #1 based on his publications in the 26 core finance journals, and #163 based on publications in the 7 leading finance journals (Source: Most Prolific Authors in the Finance Literature: 1959-2008 by Jean L Heck and Philip L Cooley (Saint Joseph's University and Trinity University). Market microstructure is the study of how markets operate and how transaction dynamics can affect security price formation and behavior. The impact of microstructure on all areas of finance has been increasingly apparent. Empirical microstructure has opened the door for improved transaction cost measurement, volatility dynamics and even asymmetric information measures, among others. Thus, this field is an important building block towards understanding today's financial markets. One of the pioneers in the field of market microstructure is David K Whitcomb, who retired from Rutgers University in 1999 after 25 years of service. David generously funded the David K Whitcomb Center for Research in Financial Services, located at Rutgers University. The Center organized a conference at Rutgers in his honor. This conference showcased papers and research conducted by the leading luminaries in the field of microstructure and drew a broad and illustrious audience of academicians, practitioners and former students, all who came to pay tribute to David K Whitcomb. Most of the papers in this volume were presented at that conference and the contributions to this volume are a lasting bookmark in microstructure. The coverage of topics on this volume is broad, ranging from the theoretical to empirical, and covering various issues from market architecture to liquidity and volatility.

Download or read book Essays on Empirical Auctions and Related Econometrics written by and published by . This book was released on 2014 with total page 218 pages. Available in PDF, EPUB and Kindle. Book excerpt: The first chapter studies identification and estimation of first-price auctions if the bidders face ambiguity about the distribution of valuations. Ambiguity is modeled using Gilboa and Schmeidler's (1989) Maxmin Expected Utility preferences. We exploit variation in the number of bidders to identify the essential primitives of the model. The identification result yields a closed form for the inverse bid function, which suggests a two-step estimation procedure. We study asymptotic and finite sample properties of the estimators. We find evidence of ambiguity in USFS timber auctions which leads to aggressive bidding for bidders with high valuations and has important implications for auction design. The second chapter proposes a procedure to test restrictions on infinite-dimensional parameters (partially) identified by unconditional or conditional moment equalities. Our new method allows us to test restrictions involving a continuum of inequalities. Examples of such restrictions include weakly increasing, concavity and first-order stochastic dominance. We show that our testing procedure controls size uniformly and has power approaching 1 against fixed alternatives. We conduct Monte Carlo Experiments to study the finite sample properties of our procedure. The third chapter studies the inference problem of bidders' risk attitudes in Independent Private Value (IPV) first-price auctions with multiplicative auction-level unobserved heterogeneity. Bidders are assumed to have Constant Relative Risk Aversion. Under the exclusion restriction that bidders randomly select themselves into auctions given the auction-level unobserved heterogeneity, bidders' CRRA coefficient is point-identified from bid data of auctions with at least two different number of active bidders. Our exclusion restriction is consistent with a variety of models with endogenous entry. Empirical application to USFS timber auctions shows that we will conclude that timber firms are risk averse if we ignoring the unobserved heterogeneity. But once we take the unobserved heterogeneity into account, risk neutrality is consistent with the data.

Download or read book Essays on Algorithmic Trading written by Markus Gsell and published by Columbia University Press. This book was released on 2010-07-09 with total page 227 pages. Available in PDF, EPUB and Kindle. Book excerpt: Technological innovations are altering the traditional value chain in securities trading. Hitherto the order handling, i.e. the appropriate implementation of a general trading decision into particular orders, has been a core competence of brokers. Labeled as Algorithmic Trading, the automation of this task recently found its way both into the brokers' portfolio of service offerings as well as to their customers' trading desks. The software performing the order handling thereby constantly monitors the market(s) in real-time and further evaluates historical data to dynamically determine appropriate points in time for trading. Within only a few years, this technology propagated itself among market participants along the entire value chain and has nowadays gained a significant market share on securities markets worldwide. Surprisingly, there has been only little research analyzing the impact of this special type of trading on markets. Markus Gsell's book aims at closing this gap by analyzing the drivers for adoption of this technology, the impact the application of this technology has on markets on a macro level, i.e. how the market outcome is affected, as well as on a micro level, i.e. how the exhibited trading behavior of these automated traders differs from normal traders' behavior.

Download or read book Essays on Market Design and Auction Theory written by BYEONGHYEON JEONG and published by . This book was released on 2019 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation studies market design and auction theory. Chapter 1 studies the impact of school choice on segregation. It shows that the popular school choice mechanisms lead to substantially different school and residential segregation, an important and overlooked aspect of choosing among school choice mechanisms. We show that open enrollment policy in public school choice program can decrease diversity of individual schools and increase segregation depending on which student allocation mechanism is used. Without open enrollment, we study the model of location choice and show that segregation is mainly associated with income. In comparing mechanisms, we show that Boston mechanism fosters segregation more than the deferred acceptance. With open enrollment, the difference between BM and DA becomes more drastic. We show that BM can actually intensify segregation when open enrollment policy is adopted, while DA is more resilient to segregation. The deferred acceptance with multi tie breaking creates maximally diverse schools. Chapter 2 considers conventional auctions when the seller can design bid spaces. Any symmetric equilibrium in a second price auction with bid spaces can be replicated with an equilibrium in a first price auction with bid spaces, but the converse doesn't hold. First price auctions with designed bid spaces revenue dominates second price auction with designed bid spaces, and well-designed first price auction is an optimal selling mechanism. Chapter 3 studies one-to-one matching environment without transfer in the presence of incomplete information on one-side. The existing notions of stability under incomplete information are studied and two alternatives are proposed. Weak Bayesian stability requires that the beliefs of the agents are dervided from a common prior via Bayes' rule and are internally consistent with the presumption that the given matching is stable. Strong Bayesian stability refines weak Bayesian stability by requiring the beliefs of agents are also externally consistent in the sense that the beliefs are narrowed down only when there is a valid reason.

Download or read book Three Essays in Empirical Auctions written by Sudip Gupta and published by . This book was released on 2005 with total page 148 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Journal of Economic Literature written by and published by . This book was released on 2007 with total page 398 pages. Available in PDF, EPUB and Kindle. Book excerpt: