Large common value auctions with risk averse bidders

• 成果类型: Article
• 署名作者: Murto, Pauli; Valimaki, Juuso
• 署名单位: Aalto University
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2015.03.015
• 发表日期: 2015
• 页码: 60-74
• 关键词: large auctions; risk aversion; common values

摘要

We analyze large symmetric auctions with conditionally i.i.d. common values and risk averse bidders. Our main result characterizes the asymptotic equilibrium price distribution for the first- and second-price auctions. As an implication, we show that with constant absolute risk aversion (CARA), the second-price auction raises significantly more revenue than the first-price auction. While this ranking seems robust in numerical analysis also outside the CARA specification, we show by counterexamples that the result does not generalize to all risk averse utility functions. (C) 2015 Elsevier Inc. All rights reserved.