Essays on the Empirical Analysis of Auctions PDF Download

Author: Bjarne Brendstrup
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ISBN: 9788790117276
Category :
Languages : en
Pages :

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Author: Ali Hortaçsu
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ISBN:
Category :
Languages : en
Pages : 390

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Author: Caio Waisman
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Category :
Languages : en
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This dissertation empirically investigates the performance of different selling mechanisms. The first chapter addresses the tradeoff between auctions ans posted prices in the context of a scarce perishable good. It makes use of data on National Football League tickets offered at eBay and leverages the within-seller and within-product variation in mechanism choice to estimate a dynamic structural model in which heterogeneous, forward-looking sellers optimally choose between the different mechanisms and their features. Counterfactual results suggest that sellers would experience an average 87.75% decrease in expected revenues if auctions were removed and an almost 13% decrease if posted prices were. In turn, consumers would benefit from an auction-only platform since the expected number of transactions would increase and expected transaction prices would decrease. The second chapter is co-authored with Dom Coey, Brad Larsen, and Kane Sweeney and it focuses on online auctions. In particular, the majority of these auctions are effectively second-price auctions, which implies that to implement the optimal mechanism the seller's problem boils down to choosing the optimal reserve price. Hence, we propose a set of estimators to discover what the optimal reserve price should be and which remain valid under general conditions. We establish the asymptotic properties of these estimators, propose a learning policy for sellers who run absolute auctions to gather data to estimate what reserve price they should use, and illustrate our tools using data from eBay on smartphones. Finally, we also discuss how the approach we propose can be extended to explicitly account for asymmetric bidders and implement the Myerson (1981) optimal auction. The final chapter is also co-authored with Dom Coey, Brad Larsen, and Kane Sweeney. It addresses the empirical analysis of ascending auctions, which is often complicated by severe data restrictions. In particular, we extend the methodology proposed by Aradillas-López et al. (2013) by first proving it remains valid under bidder asymmetries even when the identities of bidders are not observed and then by showing how this information, when available, can be used to improve upon existing tools. We demonstrate the advantages of this approach using USFS timber auctions.

Author: Minbo Xu
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ISBN:
Category : Economics
Languages : en
Pages : 232

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The dissertation includes three research papers on all-pay auctions. The first paper (Chapter 1) considers an all-pay auction for a product in which there is an option for bidders to guarantee purchases at a seller specified posted price P at any time. We find the symmetric pure-strategy equilibria in the first- and second-price all-pay auctions (also called war of attrition) with a buy-price option. Under these equilibria the buy-price option will affect high-value bidders' behavior, and improve their welfare. At the same time, the seller can select the optimal posted price to collect more revenue, and the Revenue Equivalence Theorem holds as well. The second paper (Chapter 2) conducts empirical analysis on online penny auctions, which are seen as an adaptation of the famous dollar auction and as "the evil stepchild of game theory and behavioral economics." We use the complete bid and bidder history at a website to study if penny auctions can sustain excessive profits over time. The overwhelming majority of new bidders lose money, but they quit quickly. A very small percentage of bidders are experienced and strategically sophisticated, but they earn substantial profits. Our evidence thus suggests that penny auctions cannot sustain excessive profits without attracting a revolving door of new customers who will lose money. The third paper (Chapter 3) proposes a nonparametric estimation approach to empirical analysis of the war of attrition. In order to construct a tractable model, we consider the uncertain competition and derive a structural model with a stochastic number of bidders. We admit the contamination from observables and introduce a deconvolution problem with heteroscedastic errors into the nonparametric approach. By a two-step nonparametric procedure, we can attain a consistent estimator of the distribution of bidders' private values from the observables. Finally, we apply the estimation procedure to field data from penny auctions.

Author: Thomas A. Martin (IV.)
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Languages : en
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A recent pursuit of the auction design literature has been the development of an auction mechanism which performs well in a multi-good setting, when the goods are not substitutes. This work began in earnest with the Federal Communications Commission spectrum license auctions in the early nineties and continues to this day. In a setting in which goods are not substitutes, the value of one good depends non-negatively on the quantities of other goods that are won. This type of interdependent value structure has proven difficult to account for in auction design. However, the need for mechanisms that account for such a value structure hinges on the magnitude of the interdependence, whose computation is an empirical exercise. I identify a setting in which to perform this computation. I develop an empirical methodology that allows me to recover bidders' value functions in a multi-good auction setting. This methodology allows me to assess the magnitude of any interdependence in the goods? value structure. Since the auction setting that I analyze is a variation of the standard uniform price auction, which has been adapted for a multi-good setting, I am able to measure the benefit of having a direct revelation mechanism. This counterfactual study is performed by maximizing the value of the auction using the recovered bidder value functions. I find evidence that there is an interdependent value structure in the setting. The counterfactual auction finds that the standard uniform price auction, adapted to a multi-good setting, performs poorly in the presence of such a value structure. The setting for this analysis is an auction for financial transmission rights held in Texas in 2002. The auction involved twenty two firms and collected almost $70 million in revenue. This research is the first to empirically assess efficiency in this type of auction setting.

Author: Sudip Gupta
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ISBN:
Category :
Languages : en
Pages : 148

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Author: Bin Yu
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Category :
Languages : en
Pages : 144

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This dissertation addresses the empirical analysis of procurements based on the auction theory, which is known as the structural-form analysis of procurement auctions.

Author: Guojie Wang
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ISBN:
Category : Electronic Dissertations
Languages : en
Pages : 69

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This dissertation consists of three essays. The first essay adopts the survival analysis to empirically analyze a new auction format, pay-per-bid auction, in which a fee occurs to the bidder when a new bid is submitted. This auction mechanism attracted many theoretical studies and empirical testing in recent years. However, analyzing the pay-per-bid auction under the survival framework provides a novel path to reflect this new auction format as well as involved bidder and seller behaviors. By considering the arrival of bids as a necessary condition for a pay-per-bid auction to survive, survival analysis tools such as Kaplan-Meier (KM) estimate and Accelerated Failure Time (AFT) models are applied to the data set collected from a leading pay-per-bid auction site Swoopo. Cox Proportional Hazard (PH) model is also discussed. Some equilibrium behaviors are confirmed but also some equilibrium deviated behaviors are detected. The second essay models the last-minute bidding behaviors in eBay's hard close auction design using non-parametric analysis. For comparison purpose, the auctions in Amazon with soft close auction design are combined to carry out analysis. The data is selected from eBay and Amazon and a large difference in bid timing is found between auction sites. Density estimation of bid timing confirms the existence of such difference. Mixed additive model is applied to explore the nonparametric relationship between bid timing and parameters of bidding environment. And generalized response model with logistic link function is used to model the probability of a late bidding occurs conditioned on interested covariates. The third essay proposes, from a non-parametric Bayesian aspect, using Dirichlet Processes (DP) with normal mixtures to estimate underlying valuations in second-price ascending auctions under the independent-private-values paradigm. I illustrate how a second-price ascending auction is similar in mechanism to its sealed counterpart and consequently bidders' valuations can be extracted if bidders are identifiable. Compared to classical methods, to provide more flexible and reliable inferences, DP density estimation is strongly motivated and represents an advance. As a non-parametric Bayesian method, DP can accommodate non-nomality through normal mixtures and develop Bayesian inference on model parameters. Due to the complex nature of posteriors, MCMC simulation is used to approximate posteriors as well as density predictions. To test the validity of this method, a Monte Carlo experiment is conducted with similar sample size to our eBay data. In the last section, I reanalyze a data set from eBay auctions and apply our method to estimate the valuations.

Author: Shumpei Goke
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Category :
Languages : en
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In this dissertation, I investigate various aspects of auction design problems. In Chapter 1, I study secret reserve prices in auctions that are partially binding in the sense that the sellers can accept bids below them. Such a reserve price has a bite only when the winning bid exceeds it, in which case the winning bid is accepted without seller's action. This work investigates the motivation for this puzzling practice that many real-world auctions take, such as wholesale used-car auctions. I estimate a structural model of ascending auctions using the auction data in the wholesale used-car market. To microfound seller's decision of the secret reserve price, I posit that the seller has uncertainty as to the value of the item when she sets the reserve price and that this uncertainty is resolved after she observes the auction price. I compare the status quo with two counterfactual auction formats: (i) no reserve prices and the seller gets to accept or reject every winning bid, and (ii) the seller commits to the secret reserve price. I observe very little difference among them in terms of probability of trade, seller's payoff and revenue. I discuss how the current format may be rationalized as reducing transaction costs for asking sellers' confirmation of all winning bids and avoiding sellers' cognitive cost of committing to a reserve price. The work in Chapter 2 is a joint work with Gabriel Y. Weintraub, Ralph A. Mastromonaco, and Samuel S. Seljan. Weintraub and I formulated the research questions and laid out steps for the research project in close collaboration, and I performed all the data analysis with the advice from Weintraub. Mastromonaco and Seljan provided Weintraub and me with the dataset and the necessary domain knowledge. In this work, we study actual bidding behavior when a new auction format gets introduced into the marketplace. More specifically, we investigate this question using a novel dataset on internet display advertising auctions and exploiting a staggered adoption by different publishers (sellers) of first-price auctions (FPAs), instead of the traditional second-price auctions (SPAs). Event study regression estimates indicate that, immediately after the auction format change, the revenue per sold impression (price) jumped considerably for the treated publishers relative to the control publishers, ranging from 35% to 75% of the pre-treatment price level of the treatment group. Further, we observe that in later auction format changes the increase in the price levels under FPAs relative to price levels under SPAs dissipates over time, reminiscent of the celebrated revenue equivalence theorem. We take this as evidence of initially insufficient bid shading after the format change rather than an immediate shift to a new Bayesian Nash equilibrium. Prices then went down as bidders learned to shade their bids. We also show that bidders' sophistication impacted their response to the auction format change. Our work constitutes one of the first field studies on bidders' responses to auction format changes, providing an important complement to theoretical model predictions. As such, it provides valuable information to auction designers when considering the implementation of different formats. In Chapter 3, I study the efficient design of mortgage foreclosure auctions. Lenders with delinquent mortgages recover their lending by foreclosure, which is a legal process to sell the mortgage property via public auction. In the U.S., mortgage lenders are allowed to bid in such foreclosure auctions, and they win in such auctions very frequently. I study the question of why mortgage lenders win in most of those auctions. I develop a theoretical model of ascending auctions with private values. I find that the lender's optimal bidding strategy is the same as the optimal reserve price of an auction seller, if it is below the debt balance. In other words, the lender exercises monopoly power as would an auction seller, up to the remaining debt. This increases the probability that the lender wins the auction, as third-party bidders' optimal strategy is to drop out of the auction when the price reaches their respective valuations of the mortgage property. The monopoly power that the mortgage confers to the lender also implies that the resulting allocation of the mortgage property may be inefficient. To resolve such inefficiency, I derive a mechanism that achieves efficient allocation of the foreclosed property.

Author: Yu Zhang
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Category :
Languages : en
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This dissertation, which consists of three essays, studies online auctions both theoretically and empirically. The first essay studies a special online auction format used by eBay, "Buy-It- Now" (BIN) auctions, in which bidders are allowed to buy the item at a fixed BIN price set by the seller and end the auction immediately. I construct a two-stage model in which the BIN price is only available to one group of bidders. I find that bidders cutoff is lower in this model, which means, bidders are more likely to accept the BIN option, compared with the models assuming all bidders are offered the BIN. The results explain the high frequency of bidders accepting BIN price, and may also help explain the popularity of temporary BIN auctions in online auction sites, such as eBay, where BIN option is only offered to early bidders. In the second essay, I study how bidders' risk attitude and time preference affect their behavior in Buy-It-Now auctions. I consider two cases, when both bidders enter the auction at the same time (homogenous bidders) thus BIN option is offered to both of them, and when two bidders enter the auction at two different stages (heterogenous bidders) thus the BIN option is only offered to the early bidder. Bidders' optimal strategies are derived explicitly in both cases. In particular, given bidders' risk attitude and time preference, the cutoff valuation, such that a bidder will accept BIN if his valuation is higher than the cutoff valuation and reject it otherwise, is calculated. I find that the cutoff valuation in the case of heterogenous bidders is lower than that in the case of homogenous bidders. The third essay focuses on the empirical modeling of the price processes of online auctions. I generalize the monotone series estimator to model the pooled price processes. Then I apply the model and the estimator to eBay auction data of a palm PDA. The results are shown to capture closely the overall pattern of observed price dynamics. In particular, early bidding, mid-auction draught, and sniping are well approximated by the estimated price curve.