Underpricing and market power in uniform price auctions

• 成果类型: Article
• 署名作者: Kremer, I; Nyborg, KG
• 署名单位: University of California System; University of California Los Angeles; Stanford University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhg051
• 发表日期: 2004
• 页码: 849
• 关键词: TREASURY AUCTIONS; Divisible goods; BEHAVIOR; equilibria; rules

摘要

In uniform auctions, buyers choose demand schedules as strategies and pay the same market clearing price for units awarded. Despite the widespread use of these auctions, the extant theory shows that they are susceptible to arbitrarily large underpricing. We make a realistic modification to the theory by letting prices, quantities, and bids be discrete. We show that underpricing can be made arbitrarily small by choosing a sufficiently small price tick size and a sufficiently large quantity multiple. We also show how one might improve revenues by modifying the allocation rule. A trivial change in the design can have a dramatic impact on prices. Our conclusions are robust to bidders being capacity constrained. Finally, we examine supply uncertainty robust equilibria.