Equilibrium Bid-Price Dispersion

• 成果类型: Article
• 署名作者: Jovanovic, Boyan; Menkveld, Albert J.
• 署名单位: New York University; Vrije Universiteit Amsterdam; Tinbergen Institute
• 刊物名称: JOURNAL OF POLITICAL ECONOMY
• ISSN/ISSBN: 0022-3808
• DOI: 10.1086/717454
• 发表日期: 2022
• 页码: 426-461
• 关键词: limit order book; MARKET; liquidity; auctions; MODEL

摘要

If bidding in a pure common-value auction is costly and bidders do not know how many others are also bidding, all equilibria are in mixed strategies. Participation is probabilistic, and bid prices are dispersed. The symmetric equilibrium is unique and yields simple analytic expressions. We use them to, for example, show that bid prices exhibit negative skewness. The expressions are further used to estimate the model based on bidding on a Standard & Poor's 500 security. We find that the number of bidders declined over time, making liquidity supply fragile.