投标与拍卖的决策理论方法

本文介绍国内很少涉及的国际投标和拍卖中的一些重要概念和基本问题,重点综述国际投标与拍卖的决策理论模型与方法的发展历史与现状。     

Strategic Analysis of High-tech Auctions

This paper deals with the security voting structure in an auction mechanism used to sell an item Of high-tech. The design of security voting structure allows the seller to choose between two objectives that are not mutually consistent. However, if the seller wants to maximize his revenue, he should retain some shares to benefit from the future dividends generated by the acquirer. In addition, if he wants to sell his high-tech to the most efficient candidate, he should sell all the shares.     

Bidding and Information: Evidence from Gilt-edged Auctions

Many studies have shown that government debt auctions underprice debt compared with the secondary market. This paper corroborates this for certain forms of gilt auction by comparing the price received at auction with an almost identical parent stock in the secondary market. Although the sample is small, the parent/auction stock price comparison gives a cleaner measure than used in other studies. The paper also compares non-fungible auctions (where the auction stock differs slightly from the parent at auction and merges subsequently) with fully-fungible ones (where they are identical throughout). Significant underpricing only occurs in non-fungible auctions.     

网上拍卖雇佣出价行为的研究

雇佣出价是卖方雇佣出价人(或卖方)扮作买方故意人为地抬高被拍卖物品的竞价.雇佣出价通常发生在拍卖价值较高的物品且竞买人对这些物品估价差异较大的情况下,这样卖方就能从欺诈中获得较高的收益.为了预防和检查雇佣出价行为,本文给出了一个使得雇佣出价无利可图的拍卖机制.这一机制强调拍卖人的作用,拍卖人根据中标价和卖方保留价之差收取佣金,佣金率在不同的拍卖市场是不同的,确保雇佣出价无利可图.     

A Simple Model of Expert and Non-Expert Bidding in First-Price Auctions

This paper studies the equilibrium bidding behavior in a first-price sealed-bid auction when the number of informed bidders is not common knowledge. Both the independent private values and the common value cases are analyzed, under the assumption that a “neutral” signal exists. In equilibrium, experts and non-experts draw their bids from distinct supports: experts bid in the upper and lower tail of the bidding distribution and non-experts randomize their bids in between. For common values, it is shown that the seller's expected revenue always decreases with the probability of a bidder being informed when this probability is small. The opposite result is shown for the case of independent private values.Journal of Economic LiteratureClassification Numbers: D44, D82.     

Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions

This paper studies federal auctions for wildcat leases on the Outer Continental Shelf from 1954 to 1970. These are leases where bidders privately acquire (at some cost) noisy, but equally informative, signals about the amount of oil and gas that may be present. We develop tests of rational and equilibrium bidding in a common values model that are implemented using data on bids and ex post values. We also use data on tract location and ex post values to test the comparative static prediction that bidders may bid less aggressively in common value auctions when they expect more competition. We find that bidders are aware of the "winner's curse" and their bidding is largely consistent with equilibrium.     

Strategic Bargaining and Competitive Bidding in a Dynamic Market Equilibrium

This paper extends the bargaining and matching literature, such as Rubinstein and Wolinsky (1985), by considering a new matching process. We assume that a central information agency exists, such as real estate agencies in the housing market and employment agencies (or newspapers) in the labour market, which puts traders into direct contact with each other. With heterogeneity of trader preferences, equilibrium trade is characterized by existing traders on each side of the market trying to match with the flow of new traders on the other side (since existing traders have already sampled and rejected each other). Two procedures of trade co-exist, namely a strategic bilateral bargaining process and a competitive bidding process, depending on the number of potential matches a new trader obtains. We characterize the unique symmetric Markov perfect equilibrium to this stochastic trading game.     

Asymmetric Auctions

The revenue-equivalence theorm for auctions predicts that expected seller revenue is independent of the bidding rules, as long as equilibrium has the properties that the buyer with the highest reservation price wins and any buyer with the lowest possible reservation price has zero expected surplus. Thus, in particular, the two most common auction institutions—the open 'English' and the sealed high-bid auction—are equivalent despite their rather different strategic properties.     

Default Service Auctions

In February 2002, New Jersey completed a market process whereby the utilities were able to purchase one-year forward contracts to ensure energy needs for their default service customers for a one-year period. The auction was the first application of the simultaneous descending clock auction to power procurement. We chose this auction format to fit the specific needs of the New Jersey Electric Discount and Energy Competition Act and the New Jersey Board of Public Utilities mandate for a competitive bidding process to procure the electricity to meet the electric utilities default service obligations.     

Information Provision in Procurement Auctions

We study the optimal provision of information in a procurement auction with horizontally differentiated goods. The buyer has private information about her preferred location on the product space and has access to a costless communication device. A seller who pays the entry cost may submit a bid comprising a location and a minimum price. We characterize the optimal information structure and show that the buyer prefers to attract only two bids. Further, additional sellers are inefficient since they reduce total and consumer surplus, gross of entry costs. We show that the buyer will not find it optimal to send public information to all sellers. On the other hand, she may profit from setting a minimum price and that a severe hold‐up problem arises if she lacks commitment to set up the rules of the auction ex ante.     

Optimal Multi-Object Auctions

This paper analyses optimal auctions of several objects. In the first model bidders have a binary distribution over their valuations for each object, in which case the optimal auction is efficient. The optimal auction takes one of two formats: either objects are sold in independent auctions, or a degree of bundling is introduced in the sense that the probability a bidder wins one object is increasing in her value for the other. The format of the optimal auction may depend upon the number of bidders. In the second model the restriction to binary distributions is relaxed, and the optimal auction is then inefficient.     

Auctions with cross-shareholdings

Summary. We study the effect of cross-shareholding among two competing firms on their bidding behavior and the expected sales revenue for the seller in an auction environment. The bidders private signals are independent, and the model encompasses the private values model and a particular common value model as special cases. When cross-shareholding is symmetric, the bids decrease towards the collusive level as the degree of cross-shareholding increases. The Revenue Equivalence result no longer holds: the first-price auction generates higher expected revenue for the seller than the second-price auction.With asymmetric cross-shareholding, revenue comparisons are only possible in the common value setting. Expected revenue for the seller is again higher in the first-price than in the second price auction. Bidding behavior in the second-price auction is more sensitive to changes in cross-shareholding and the value environment than in the first-price auction.Received: 18 September 2000, Revised: 27 May 2003, JEL Classification Numbers: C72, D44.Correspondence to: Sudipto DasguptaWe thank Sugato Bhattacharyya, Paul Klemperer, Kunal Sengupta and Guofu Tan for helpful discussions, and an anonymous referee for suggestions that improved the paper. The usual disclaimer, of course, applies.     

密封价格拍卖或招标中的有限腐败

本文研究了密封价格拍卖或招投标中的有限腐败问题,探讨了当行贿者通过行贿招标主持人获得多次出标机会,而其他竞标者不知道这种有限腐败行为时,对拍卖结果所产生的影响。在第二价格拍卖机制下,由于竞标者按真实估价报价总是弱占优策略,该有限腐败行为在此拍卖机制下不会产生影响。但对于密封的第一价格拍卖机制来说,由于行贿者的多个标价中的最高标价比其他竞标者的标价更强势(aggressive),导致其他竞标者获胜的概率减少,行贿者获胜的概率增加。而行贿者的其他出标机会所用的出标策略比其他竞标者的出标策略要弱势,所以在保证期望收益增加的情况下所付出的期望支付有可能比在没有腐败情形下的期望支付要低。特别地,当行贿者获得更多的出标机会时所采用的出标策略与我们的直觉是有差异的。有限腐败对于物品所有者来说是不利的,他的期望收益随着行贿者的特权的增强而减少。     

Sequentially Optimal Auctions

In auctions where a seller can post a reserve price but if the object fails to sell cannot commit never to attempt to resell it, revenue equivalence between repeated first price and second price auctions without commitment results. When the time between auctions goes to zero, seller expected revenues converge to those of a static auction with no reserve price. With many bidders, the seller equilibrium reserve price approaches the reserve price in an optimal static auction. An auction in which the simple equilibrium reserve price policy of the seller mirrors a policy commonly used by many auctioneers is computed.Journal of Economic LiteratureClassification Numbers: C78, D44, D82.     

Asymptotic Revenue Equivalence in Auctions

We study the revenue in auctions of a single object when the number of bidders becomes large. We show that all sequences of auctions belonging to a class of mechanisms have limiting expected revenue equal to the expected best-use value of the object. An important special case that is covered is common value auctions, but more generally not even affiliation of values is assumed. This provides an asymptotic revenue equivalence result for settings beyond that of private values. Journal of Economic Literature Classification Numbers: D44, C72.     

Equilibrium in Sealed High Bid Auctions

There is a voluminous theoretical literature on sealed high-bid auctions (auctions in which bids are sealed and the high bidder pays his bid). See for example, Vickery (1961), Myerson (1981), riley and Samuelson (1981), Milgrom and Weber (1982), Mathews (1983), Maskin and Riley (1984), Holt(1980) Cox, Smith and Walker (1988). A critical property on which this literature relies is the existence of equilibrium in which buyers' bidding strategies are monotonic in their types. This enables the analyst to perform comparative statics as the distribution of types changes, and to compare the welfare properties of the high-bid auction with those of other auction institutions.     

Entry and Competition Effects in First-Price Auctions: Theory and Evidence from Procurement Auctions

Motivated by several interesting features of the highway mowing auction data from the Texas Department of Transportation (TDoT), we study three competing procurement auction models with endogenous entry. Our entry and bidding models provide several interesting implications. For the first time, we show that even within an independent private value paradigm, as the number of potential bidders increases, bidders' equilibrium bidding behaviour can become less aggressive, and the expected procurement cost may rise because the "entry effect" is always positive and may dominate the negative "competition effect". We then develop structural models of entry and bidding corresponding to the three models under consideration, controlling for unobserved auction heterogeneity, and use the recently developed semi-parametric Bayesian estimation method to analyse the data. We select the model that best fits the data, and use the corresponding structural estimates to quantify the "entry effect" and the "competition effect" with regard to the individual bids and the procurement cost.     

Reduced Form Auctions Revisited

This note uses the Theorem of the Alternative to prove new results on the implementability of general, asymmetric auctions, and to provide simpler proofs of known results for symmetric auctions. The tradeoff is that type spaces are taken to be finite.     

k-Price Auctions

In this paper we analyze the equilibria structure of k-price auctions, k ≥ 3, under the independent-private-value assumption. We discuss agents with an arbitrary attitude toward risk. That is, agents may be risk averse or risk seeking, or they may have an alternating attitude toward risk. We provide a characterization of a continuous symmetric equilibrium, prove that there exists at most one such equilibrium, and show that every such equilibrium is differentiable and increasing. We also show some additional general properties of the equilibrium strategies in these auctions. Journal of Economic Literature Classification Numbers: C72, C73, D83.