Sequential auctions, price trends, and risk preferences

• 成果类型: Article
• 署名作者: Hu, Audrey; Zou, Liang
• 署名单位: University of Amsterdam; Tinbergen Institute; University of Amsterdam
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2015.05.006
• 发表日期: 2015
• 页码: 319-335
• 关键词: Sequential auction; background risk; risk preference; Declining price; log-supermodularity; ex-post efficiency

摘要

We analyze sequential auctions in a general environment where bidders are heterogeneous in risk exposures and exhibit non-quasilinear utilities. We derive a pure strategy symmetric equilibrium for the sequential Dutch and Vickrey auctions respectively, with an arbitrary number of identical objects for sale. When bidders are risk averse (preferring), the equilibrium price sequences must be downward (upward) drifting. The declining price anomaly is thus evidence of bidder risk aversion in this general environment. These results derive from a key assumption that bidders' marginal utilities are log-supermodular in payment and type. (C) 2015 Elsevier Inc. All rights reserved.