Winner's Curse in Discriminatory Price Auctions: Evidence from Norwegian Treasury Bill Auctions
Winner's Curse in Discriminatory Price Auctions: Evidence from Norwegian Treasury Bill Auctions
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歧视性价格拍卖中的赢家诅咒：来自挪威国库券拍卖的证据
DOI：
10.2139/ssrn.290743
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发表时间：
2001
期刊：
影响因子：
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通讯作者：
Geir H. Bjønnes
中科院分区：
文献类型：
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作者：
Geir H. Bjønnes
本文使用由 1993 年至 1998 年期间举行的挪威国库券拍卖中的实际投标分布组成的详细数据集研究投标人行为。实证结果表明，观察到的投标人行为与赢家诅咒的调整是一致的。当竞争的投标人数量增加时，投标人会更加分散和遮蔽他们的投标，并减少需求数量。测试表明，各个投标人之间存在一些差异。例如，平均而言，最频繁的投标人比其他投标人更倾向于分散投标。投标遮蔽和投标人利润的差异不能用投标人频率或投标人规模来解释。
This paper studies bidder behavior using a detailed data set consisting of actual bid distributions in Norwegian Treasury bill auctions held during 1993-1998. The empirical results presented suggest that observed bidder behavior is consistent with an adjustment for the winner’s curse. Bidders shade and disperse their bids more, and reduce quantity demanded, when the number of competing bidders increases. Tests suggest that there are some differences between the individual bidders. For instance, the most frequent bidders tend to disperse their bids more than other bidders, on average. Differences in bid shading and bidder profits can not be explained by bidder frequency or bidder size.