Simultaneous vs. sequential auctions with risk averse bidders

• 成果类型: Article
• 署名作者: Chakraborty, Indranil
• 署名单位: National University of Singapore
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2018.09.014
• 发表日期: 2019
• 页码: 209-222
• 关键词: Multi-unit auction; risk aversion; Sequential auction; Optimal reserve

摘要

In this paper we ask a basic question that is interesting for auctioneers and regulators when multiple units are on sale. Should multiple identical units be sold simultaneously through a single-shot auction or sequentially? We consider the risk effect of such a decision on bidders and show that in the independent private values setting the answer unambiguously depends on the pricing rule. A bidder's payoff uncertainty increases when the sale is sequenced under a pay-as-bid rule, but decreases under the Vickrey rule. We find that as a result the sequential auction is less desirable from revenue and ex post efficiency points of view under the pay-as-bid rule, and more desirable under the Vickrey rule, when the reserves in all auctions are set revenue-optimally. (C) 2018 Elsevier Inc. All rights reserved.