A COMMON VALUE AUCTION MODEL ALLOWING ASYMMETRICALLY INFORMED BIDDERS, RISK AVERSE BIDDERS, AND A COMPARISON OF SEQUENTIAL VERSUS SIMULTANEOUS AUCTIONS FOR MULTIPLE OBJECTS (APPLIED GAME THEORY, INFORMATION ECONOMICS).

摘要

This dissertation studies auctions where all the bidders can realize the same value from the object being sold. Typically the object's value is unknown prior to the sale but each bidder has a private estimate of its value. This setting is termed the common value setting and might be the appropriate model for, say, the federal government's resource rights auctions. The model developed is informationally very simple--each bidder receives either a "high" or "low" signal, the likelihood of either being conditional on the true value of the object. The model's simplicity permits three extensions to the usual common value auction analysis.;First, asymmetrically informed bidders are permitted. Symmetric information does not mean all the players have identical information but rather that they all draw their private signals from the same distribution. Asymmetric information allows one player to simply have "better" information or a different form of signal. In this setting the players' equilibrium bidding strategies and the resulting seller's expected revenues are determined for various auction forms. These results are then contrasted with results from the symmetric model.;Second, risk aversion is introduced into the common value auction. It is shown that as bidders' risk aversion increases the second-price auction does progressively better for the seller than the first-price auction. Also, the all-pay auction, which performs well for the seller when the bidders are risk neutral, does poorly as risk aversion increases.;Third, it is possible to compare the seller's expected revenue from selling multiple objects through sequential versus simultaneous auctions. An important auction information release theorem says the seller can raise expected revenue by having a policy of publicly revealing all available information. In light of this result, it might appear that the seller would prefer to sell the objects sequentially with bid announcements since those announcements would likely be information release. However, the players, knowing this, may have an incentive to underbid to deceive their opponents. This deception effect may override the information release effect leading the seller to prefer simultaneous sales.