Sequential auctions with ambiguity

• 成果类型: Article
• 署名作者: Ghosh, Gagan; Liu, Heng
• 署名单位: California State University System; California State University Fullerton; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2021.105324
• 发表日期: 2021
• 关键词: sequential auctions; Declining prices; ambiguity; dynamic inconsistency

摘要

This paper studies sequential auctions in the presence of ambiguity about the distribution of values. Using the multi-self approach to accommodate the possible time inconsistency that arises with dynamic bidding for maxmin bidders, we characterize the unique symmetric and monotone equilibrium in closed form. We show that the equilibrium prices are a supermartingale if the worst-case beliefs reverse hazard rate dom-inate the true distribution of values, providing an explanation for the well-documented puzzle declining price anomaly in sequential auctions. Importantly, the sufficient condition for declining prices allows for dynamic inconsistency. We also propose a non-parametric procedure to identify bidders' values and beliefs from auction data. The model delivers rich testable implications: on the practical side, declining prices im-ply that bidders' worst-case beliefs first-order stochastically dominate the true distribution of values; on the theoretical side, dynamic inconsistency generates history dependence in bidding strategies and possibly higher revenues for the seller. (c) 2021 Elsevier Inc. All rights reserved.