Countering the winner's curse: Optimal auction design in a common value model

• 成果类型: Article
• 署名作者: Bergemann, Dirk; Brooks, Benjamin; Morris, Stephen
• 署名单位: Yale University; University of Chicago; Massachusetts Institute of Technology (MIT)
• 刊物名称: THEORETICAL ECONOMICS
• ISSN/ISSBN: 1933-6837
• DOI: 10.3982/TE3797
• 发表日期: 2020-11-01
• 页码: 1399-1434
• 关键词: Optimal auction; common values; maximum game; posted price; reserve price; revenue equivalence

摘要

We characterize revenue maximizing mechanisms in a common value environment where the value of the object is equal to the highest of the bidders' independent signals. If the revenue maximizing solution is to sell the object with probability 1, then an optimal mechanism is simply a posted price, namely, the highest price such that every type of every bidder is willing to buy the object. If the object is optimally sold with probability less than 1, then optimal mechanisms skew the allocation toward bidders with lower signals. The resulting allocation induces a winner's blessing, whereby the expected value conditional on winning is higher than the unconditional expectation. By contrast, standard auctions that allocate to the bidder with the highest signal (e.g., the first-price, second-price, or English auctions) deliver lower revenue because of the winner's curse generated by the allocation. Our qualitative results extend to more general common value environments with a strong winner's curse.