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Information, stochastic dominance and bidding : The case of Treasury auctions

Leoni, Patrick and Lundtofte, Frederik LU (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:
author
organization
publishing date
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
  • scopus:85013243974
  • wos:000397836400020
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
2018-01-07 11:53:20
@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},
  keyword      = {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},
  volume       = {153},
  year         = {2017},
}