Multiple unit auctions and short squeezes

• 成果类型: Article
• 署名作者: Nyborg, KG; Strebulaev, IA
• 署名单位: University of California System; University of California Los Angeles; University of London; London Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg038
• 发表日期: 2004
• 页码: 545
• 关键词: MARKET MANIPULATION; STRATEGIC ANALYSIS; TREASURY AUCTION; bubbles; CORNERS; MODEL; bids

摘要

This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and higher revenue than uniform auctions, ceteris paribus. Asymptotically, as the auction size approaches infinity, the two formats lead to equivalent outcomes. Shorts employ more aggressive equilibrium bidding strategies. Most longs strategically choose to be passive. Free riding on a squeeze by small, long players has no impact on these results, but affects revenue in discriminatory auctions.