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Bidder Behavior In Uniform Pricing Auctions An Empirical Study Of The Danish Treasury Bill Auctions
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Book Synopsis Bidder Behavior in Uniform-pricing Auctions: an Empirical Study of the Danish Treasury Bill Auctions by : Heino Dossing
Download or read book Bidder Behavior in Uniform-pricing Auctions: an Empirical Study of the Danish Treasury Bill Auctions written by Heino Dossing and published by . This book was released on 2009 with total page 96 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper I analyze the bidder behavior in uniform-pricing auctions. The paper contains a description of the most fundamental theory on discriminatory and uniform pricing auctions, a review of the existing literature and a unique empirical study of the bidder behavior in the Danish Treasury-Bill auction of 2007. The bidder-behavior in the Danish T-bill auctions was compared to the predictions of four different theoretical models via a methodology developed by Keloharju, Nyborg and Rydqvist (2005). It is found that the individual bidder's behavior is unaffected by risk and market power. Thus, price volatility and market power do not determine the profitability of the Danish T-bill Auctions. This leads to a suspicion of tacit collusion among the bidders in the Danish Treasury Bill auctions. As a consequence my empirical results could not contribute to a further mapping of the theoretical predictions on actual bidder behavior in Treasury security auctions that are confirmed by empirical data. In addition I did not come closer to an answer to the question: which auction procedure is most profitable - discriminatory or the uniform-pricing?However, my findings do add one interesting aspect to the existing literature: the relative profitability of any auction procedure can be affected by the degree of tacit collusion. Thus, any future comparisons of discriminatory and uniform-pricing auctions (across different countries or different time-periods) should take the possibility of collusion into account. Finally, future empirical studies of the bidder behavior in Treasury-security auctions could be devoted to the development of quantitative tools to detect collusion.
Book Synopsis Treasury Bill Auctions by : Mr.Carlo Cottarelli
Download or read book Treasury Bill Auctions written by Mr.Carlo Cottarelli and published by International Monetary Fund. This book was released on 1994-11-01 with total page 70 pages. Available in PDF, EPUB and Kindle. Book excerpt: We review the main issues that arise in the design of treasury bill auctions and survey the relevant empirical literature. We also provide a detailed description of the actual design of these auctions in a sample of 42 industrial and developing countries.
Book Synopsis Strategic Behaviour and Underpricing in Uniform Price Auctions by : Matti Keloharju
Download or read book Strategic Behaviour and Underpricing in Uniform Price Auctions written by Matti Keloharju and published by . This book was released on 2002 with total page 52 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bidder Behavior in Multiple Unit Auctions by : Kjell G. Nyborg
Download or read book Bidder Behavior in Multiple Unit Auctions written by Kjell G. Nyborg and published by . This book was released on 1997 with total page 54 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Essays in the Empirical Analysis of Auction Markets by : Ali Hortaçsu
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:
Book Synopsis Auction Format Matters by : Mr.Robert Alan Feldman
Download or read book Auction Format Matters written by Mr.Robert Alan Feldman and published by International Monetary Fund. This book was released on 1995-05 with total page 34 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper evaluates the importance of auction format on bidding behavior and seller revenue, focusing on differences in performance under uniform-price and discriminatory-price formats. The analysis is based on a standard benchmark model from which empirically-testable hypotheses are derived on the optimal amount of bid shading that generates revenue equivalence between the two formats. Applying this model to data from the IMF gold auctions run in 1976-80, we find evidence of statistically significant shading in excess of the theoretically-derived optimum under the discriminatory format. This evidence suggests greater seller revenue under the uniform-price format.
Book Synopsis Auctions of Identical Objects with Single-unit Demands by : Flavio M. Menezes
Download or read book Auctions of Identical Objects with Single-unit Demands written by Flavio M. Menezes and published by . This book was released on 1999 with total page 42 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Bidding Behavior in Treasury Bill Auctions by : Daniel C. L. Hardy
Download or read book Bidding Behavior in Treasury Bill Auctions written by Daniel C. L. Hardy and published by International Monetary Fund. This book was released on 2000-06 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both ‘buy and sell’ and ‘buy and hold’ strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
Book Synopsis Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions by : Kjell G. Nyborg
Download or read book Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions written by Kjell G. Nyborg and published by . This book was released on 2011 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze a unique data set on multiunit auctions, which contains the actual demand schedules of the bidders as well as the auction awards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid dispersion, and the quantity demanded in response to increased uncertainty at the time of bidding. Second, we find that bid shading can be explained by a winner's curse-driven model in which each bidder submits only one bid, despite the fact that the bidders in our data set use much richer bidding strategies. Third, we explore the extent to which the received theories of multiunit auctions are able to offer insights into the bidder behavior we observe. Our empirical evidence is consistent with some of the predictions of the models of auctions that emphasize private information, the winner's curse, and the champion's plague. While the models of multiunit auctions serve as useful guideposts, our empirical findings also point to several new areas of research in multiunit auctions that are of policy and theoretical interest.
Book Synopsis Collusion in Uniform-price Auctions by : Gautam Goswami
Download or read book Collusion in Uniform-price Auctions written by Gautam Goswami and published by . This book was released on 1995 with total page 56 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Auctions with Resale when Private Values are Uncertain by : Andreas Lange
Download or read book Auctions with Resale when Private Values are Uncertain written by Andreas Lange and published by . This book was released on 2004 with total page 59 pages. Available in PDF, EPUB and Kindle. Book excerpt: Auction theory is one of the richest areas of research in economics over the past three decades. Yet whether and to what extent the introduction of secondary resale markets influences bidding behavior in sealed bid first-price auctions remains under researched. This study begins by developing theory to explore auctions with resale when private values are uncertain. We put our theory to the test by examining both field data and experimental data from the lab. Our field data are from a unique data set that includes nearly 3,000 auctions (over 10,000 individual bids) for cutting rights of standing timber in British Columbia from 1996-2000. In comparing bidding patterns across agents who are likely to have resale opportunities with those who likely do not, we find evidence that is consistent with our theoretical predictions. Critical evaluation of the reduced-form bidding model, however, reveals that sharp tests of the theoretical predictions are not possible because several other differences may exist across these bidder types. We therefore use a laboratory experiment to examine if the resale opportunity by itself can have the predicted effect. We find that while it does have the predicted effect, a theoretical model based on risk-averse bidders explains the overall data patterns more accurately than a model based on risk-neutral bidders. More generally, the paper highlights the inferential power of combining naturally occurring data with laboratory data.
Book Synopsis Bidding Behavior in Treasury Bill Auctions by : Daniel Hardy
Download or read book Bidding Behavior in Treasury Bill Auctions written by Daniel Hardy and published by . This book was released on 2006 with total page 31 pages. Available in PDF, EPUB and Kindle. Book excerpt: Behavior in the first three years of auctions for Pakistani treasury bills is studied. Bidding strategies rapidly converged to a consistent pattern after the auctions started in 1991. Factors are identified that influenced the expected profitability of auction participation, which was on average low and did not differ between types of bidders. Prices bid are found to reflected both 'buy and sell' and 'buy and hold' strategies, and were affected by risk considerations and bidder-specific variables. The Pakistani experience suggests the robustness of auctions as a market-based allocation mechanism, and their value in public debt management.
Book Synopsis Winner's Curse in Discriminatory Price Auctions by : Geir Hoidal Bjonnes
Download or read book Winner's Curse in Discriminatory Price Auctions written by Geir Hoidal Bjonnes and published by . This book was released on 2002 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner's curse. Bidders shade and disperse their bids more, and reduce quantity demanded, when the number of competing bidders increases. Tests suggest that there are some differences between the individual bidders. For instance, the most frequent bidders tend to disperse their bids more than other bidders, on average. Differences in bid shading and bidder profits can not be explained by bidder frequency or bidder size.
Book Synopsis Bidder Behavior and Market Outcomes in Treasury Bill Auctions by : Berna Saniye Bayazitoglu
Download or read book Bidder Behavior and Market Outcomes in Treasury Bill Auctions written by Berna Saniye Bayazitoglu and published by . This book was released on 1997 with total page 350 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Book Synopsis Electricity Auctions by : Luiz Maurer
Download or read book Electricity Auctions written by Luiz Maurer and published by World Bank Publications. This book was released on 2011-07-25 with total page 181 pages. Available in PDF, EPUB and Kindle. Book excerpt: Electricity-contract auctions have been getting increased attention as they have emerged as a successful mechanism to procure new generation capacity and. This book presents a comprehensive overview of international experiences in auction design and implementation.
Book Synopsis Bond Market Development in Asia by : OECD
Download or read book Bond Market Development in Asia written by OECD and published by OECD Publishing. This book was released on 2001-03-30 with total page 452 pages. Available in PDF, EPUB and Kindle. Book excerpt: This conference proceedings of the second "Round Table on Capital Market Reforms in Asia" held in Tokyo in April 2000, which was organised by the OECD and the Asian Development Bank Institute (ADBI), focused on bond market development in Asia.
Book Synopsis Putting Auction Theory to Work by : Paul Milgrom
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.
