Information, stochastic dominance and bidding : The case of Treasury auctions
(2017) In Economics Letters 153. p.80-82- Abstract
We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, informativeness is related to conditional first-order stochastic dominance, so that a higher degree of informativeness in the signal-fundamental distribution induces higher bids and therefore higher revenues. Our framework is relevant for discussing total revenues and informativeness in US Treasury auctions.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/1df1b4da-8859-43d8-9a48-a03615bcd7a7
- author
- Leoni, Patrick and Lundtofte, Frederik LU
- organization
- publishing date
- 2017-04-01
- type
- Contribution to journal
- publication status
- published
- subject
- keywords
- Common value auctions, Informativeness, Stochastic dominance
- in
- Economics Letters
- volume
- 153
- pages
- 3 pages
- publisher
- Elsevier
- external identifiers
-
- wos:000397836400020
- scopus:85013243974
- ISSN
- 0165-1765
- DOI
- 10.1016/j.econlet.2017.02.004
- language
- English
- LU publication?
- yes
- id
- 1df1b4da-8859-43d8-9a48-a03615bcd7a7
- date added to LUP
- 2017-03-01 08:33:22
- date last changed
- 2024-02-29 10:29:47
@article{1df1b4da-8859-43d8-9a48-a03615bcd7a7,
abstract = {{<p>We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, informativeness is related to conditional first-order stochastic dominance, so that a higher degree of informativeness in the signal-fundamental distribution induces higher bids and therefore higher revenues. Our framework is relevant for discussing total revenues and informativeness in US Treasury auctions.</p>}},
author = {{Leoni, Patrick and Lundtofte, Frederik}},
issn = {{0165-1765}},
keywords = {{Common value auctions; Informativeness; Stochastic dominance}},
language = {{eng}},
month = {{04}},
pages = {{80--82}},
publisher = {{Elsevier}},
series = {{Economics Letters}},
title = {{Information, stochastic dominance and bidding : The case of Treasury auctions}},
url = {{http://dx.doi.org/10.1016/j.econlet.2017.02.004}},
doi = {{10.1016/j.econlet.2017.02.004}},
volume = {{153}},
year = {{2017}},
}