Loading Events

Albert J. Menkveld (Vrije Universiteit Amsterdam) (webinar)

25 November 2020 @ 15:00 - 16:15



25 November 2020
15:00 - 16:15
Event Categories:
Academic Events

“Equilibrium Bid-Price Dispersion”

Abstract: If bidding in a common-value auction is costly and if 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 an S&P500 security. We find that the number of bidders declined over time, making liquidity supply fragile.

Joint with Boyan Jovanovic.

Zoom Link


Meeting ID: 814 3985 1376 Passcode: 753282