Information, stochastic dominance and bidding: The case of Treasury auctions
| Autor: | Patrick L. Leoni, Frederik Lundtofte |
|---|---|
| Rok vydání: | 2017 |
| Předmět: |
TheoryofComputation_MISCELLANEOUS
Economics and Econometrics 05 social sciences TheoryofComputation_GENERAL Stochastic dominance Total revenue Bidding Treasury Microeconomics Reservation price 0502 economics and business Econometrics Economics Common value auction Revenue 050207 economics Finance 050205 econometrics |
| Zdroj: | Economics Letters. 153:80-82 |
| ISSN: | 0165-1765 |
| Popis: | We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, there is a one-to-one relation between informativeness and conditional first-order stochastic dominance, so that a higher degree of informativeness in the signal-fundamental distribution corresponds to higher bids and therefore higher revenues. Finally, we consider a Walrasian bookbuilding auction and show that in such an auction, bidders may collude to push the price down to the seller's reservation price, regardless of the signals. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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