基于中国债券拍卖的随机冲击、信息传导与收益比较

本文通过建立信息传导和随机冲击影响债券拍卖收益的数理模型,系统分析了债券投资者的风险态度、价值评价和参与人数等对拍卖收益的影响,分别比较了荷兰式、美国式与混合式拍卖在一般环境与竞争环境下的收益表现;我们发现,如果允许充分多的投资者进行自由竞争,并自主选择竞争性投标和非竞争性投标,荷兰式拍卖在收益表现上有绝对的优势;竞争环境下,不同拍卖方式的收益等价性并不必然成立;基于中国数据的模型校准和数值模拟表明,在线性对称均衡下,荷兰式拍卖在中国债券拍卖中具有最高的理论收益。     

第一、第二密封价格拍卖的最优投标人数研究

文章基于拍卖者的视角,通过建立投标者报价策略模型,进一步研究第一、第二密封价格升价拍卖(as-cending auction)的最优投标人数及拍卖机制配置效率问题,发现参与投标的人数越多,投标者报价越高,拍卖者的货币收入越大,拍卖品配置给估价最高者的概率越大,在投标者为理性人的假定条件下,无论竞争如何加剧投标者报价都低于其估价;进一步地拍卖作为具有单方市场垄断力的稀缺资源配置方式,其最优配置效率的实现在于投标者的充分竞争。     

企业产权拍卖中的资金约束问题研究

在企业产权拍卖中存在投标方资金约束问题，即买主愿意支付的价格(对标的物的估价)和能够支付的价格有差异，一些有经营能力的买主无法参与投标或者无法正常投标，从而造成社会福利损失。拍卖方希望通过促进竞争来增加收益，只有更多的有资金约束的投标者通过融资参与投标才能实现这一目标。但是，无论是卖方提供的融资方案还是投标者在资本市场融资，都会出现道德风险和逆向选择的问题。本文将对现金拍卖和非现金拍卖的效率和收益，以及卖方如何进行机制选择等问题展开分析。     

市场与拍卖

本文提出市场的时间维度概念 ,讨论了时间维度与市场目标的关系 :它是市场的交易目标和价格目标之间的调节器。丰富了市场理论。在上述讨论的基础上 ,深入剖析了四种经典的单向拍卖 (英式拍卖、荷式拍卖、第一价格拍卖、第二价格拍卖 )和两类双向拍卖 (连续双向拍卖和间隔双向拍卖 ) ,讨论了现代拍卖理论和传统市场理论的关系 :微观的、动态的现代拍卖理论是宏观的、静态的传统市场理论的补充、深入、和发展 ,二者结合起来才能形成完整的市场理论。     

考虑固定收益率的采购拍卖投标策略研究

本文分析了单物品多因素采购拍卖中的供应商投标问题,在考虑供应商存在固定收益率的前提下,建立了相应的多因素拍卖中存在固定收益率的投标策略模型。本模型在Che建立的多因素拍卖打分函数模型的基础上,引入Lorentziadis考虑的固定收益率。分析表明,模型中存在3种类型的供应商,且各类供应商具有相应的投标策略。同时,分析了不同类型的供应商的投标策略与其市场竞争力之间的相互关系。     

中国网上拍卖发展现状分析

网上拍卖是一种新兴的电子商务模式,其最大优势在于充分利用了互联网快捷、低成本、广域性等特点,通过交换来动态定价。本文就中国的拍卖市场的市场概况、市场规模和市场竞争结构对中国的网上拍卖市场进行详细的分析。     

中国网上拍卖发展现状分析

网上拍实是一种新兴的电子商务模式,其最大优势在于充分利用了互联网快捷、低成本、广域性等特点,通过交换来动态定价.本文就中国的拍卖市场的市场概况、市场规模和市场竞争结构对中国的网上拍卖市场进行详细的分析.     

拍卖投标中的卖方干扰策略分析

本文讨论了拍卖投标博弈中卖方通过代理人来干扰投标拍卖过程的两种策略,区分了买方不能辨别和能辨别卖方代理人类型的两种信息假定,由此讨论了卖方代理人对拍卖投标结果产生的影响,其结果是此时收益等价定理不再成立。这一模型可以用来解释现实中常常发生的一种卖方策略性行为。     

企业产权拍卖中竞标方的投标策略及产权定价机制

在拍卖活动中，买卖双方之间存在合作博弈和非合作博弈两种状态。本文研究企业产权作为拍卖对象时，在参与各方非合作博弈条件下，分析竟标方可能采用的几种不同投标战略，及其对产权定价的影响。     

机械设备拍卖评估思路的初步探讨

机械设备的拍卖评估主要涉及两个问题:一是由评估对象自身条件和市场条件决定的价值类型,二是由价值类型决定的评估思路。当评估对象自身具有使用价值且市场有需求时,评估假设为移地继续使用,评估其移地续用价值;当评估对象自身不具有使用价值或市场无需求时,评估假设为原地拆零变现,评估其残余价值。价值类型不同,价格影响因素不同,其评估思路不同。     

Auctioning divisible goods

Summary. We derive equilibrium bidding strategies in divisible good auctions for asymmetrically informed risk neutral and risk averse bidders when there is random noncompetitive demand. The equilibrium bid schedules contain both strategic considerations and explicit allowances for the winner's curse. When the bidders' information is symmetric, the strategic aspects of bidding imply that there always exist equilibria of a uniform-price auction with lower expected revenue than provided by a discriminatory auction. When bidders are risk averse, there may exist equilibria of the uniform-price auction that provide higher expected revenue than a discriminatory auction. Received: November 4, 1999; revised version: March 9, 2001     

Revenue comparison in common-value auctions: Two examples

When players' affiliated values are symmetrically distributed, expected revenue in the second-price auction equals or exceeds that in the first-price auction (Milgrom and Weber, 1982). We provide two common-value examples where this ranking fails when players are asymmetrically informed.     

Revenues in discrete multi-unit, common value auctions: a study of three sealed-bid mechanisms

This paper proposes a discrete bidding model for both quantities and pricing. It has a two-unit demand environment where subjects bid for contracts with an unknown redemption value, common to all bidders. Prior to bidding, the bidders receive private signals of information on the (common) value. The relevant task is to compare the equilibrium strategies and the seller’s revenue of the three most common auction formats with two players. The result is that the Vickrey auction always gives the most revenue to the seller, the discriminatory auction follows closely and the uniform auction clearly is the worst due to demand reduction.

Spectrum auction designs and revenue variations

This study examines a sample of 93 national 3G spectrum auctions for the period 2000–2011 to identify the sources of substantial revenue variations. An implied reduced-form econometric model that recognises the censored nature of the sample relates per capita winning bid (per Mhz, per million populations) values to regulator-determined auction design characteristics, auction competitiveness, mobile wireless market conditions and spectrum package attributes identified from tender documents. The analysis reveals that among other factors, all auction design characteristics independently impact on realized 3G spectrum auction revenues.     

Auctions with private uncertainty and resale opportunities

When an auction is followed by an opportunity for resale, bidder valuations are endogenously determined, reflecting anticipated profit from buying/selling in the resale market. These valuations vary with the resale market structure, can differ across auction types, and may be lower or higher than if resale were impossible. Although resale introduces a common value element to the model, revenue equivalence can hold; when it fails, this is due not to affiliation but to differences in information conveyed to the secondary market. Information linkages between markets can also lead to signaling and, in some cases, preclude separation in the auction.     

An experimental investigation of soft price caps in uniform price auction markets for wholesale electricity

This paper presents the results from an auction experiment using industry professionals and student participants who compete in a simulated wholesale market for electricity. Motivated by the intervention by FERC in response to the “meltdown” of the California spot market, we investigate the effect of including a “soft” price cap in a uniform price auction as a means of mitigating high prices. When prices are driven above the soft cap, offer curves become flat, in contrast to the hockey stick shape observed in a typical uniform price auction for electricity. This flat offer curve leads to market prices that are relatively insensitive to both generation costs and demand reductions.      

Demand reduction and preemptive bidding in multi-unit license auctions

Multi-unit ascending auctions allow for equilibria in which bidders strategically reduce their demand and split the market at low prices. At the same time, they allow for preemptive bidding by incumbent bidders in a coordinated attempt to exclude entrants from the market. We consider an environment where both demand reduction and preemptive bidding are supported as equilibrium phenomena of the ascending auction. In a series of experiments, we compare its performance to that of the discriminatory auction. Strategic demand reduction is quite prevalent in the ascending auction even when entry imposes a (large) negative externality on incumbents. As a result, the ascending auction performs worse than the discriminatory auction both in terms of revenue and efficiency, while entrants’ chances are similar across the two formats.     

向上叫价时钟双向拍卖机制设计

通过深入分析统一价格密封双向拍卖机制的诸多缺陷，充分借鉴单向拍卖市场上时钟拍卖的基本思想，将时钟拍卖引入双向拍卖市场，构建了一个无论从分配效率方面考虑还是从竞价风险方面考虑都优于统一价格密封双向拍卖机制，不仅为同类物品确定统一价格，还可以为不同类的物品确定其不同的价格的向上叫价时钟双向拍卖机制。     

Common Value Auctions with Default: An Experimental Approach

This paper examines a common value auction in which bidder default is explicitly allowed. The lack of contractual enforcement has implications for the formation of bids as well as the revenue properties of the auction. Using a common value procurement auction, we explore these implications in an experimental setting. Our results show that bidders are more aggressive when default is allowed. A theoretical result shows that allowing default can actually be in the best interest of the auctioneer. Experimental evidence, however, indicates that this result does not hold true in practice. One possible reason for this discrepancy is that the data in our experiments is consistent with winner's curse behavior.     

Supply function equilibria of pay-as-bid auctions

This paper characterizes the Nash equilibrium in a pay-as-bid (discriminatory), divisible-good, procurement auction. Demand by the auctioneer is uncertain as in the supply function equilibrium model. A closed form expression is derived for a one shot game. Existence of an equilibrium is ensured if the hazard rate of the demand distribution is monotonically decreasing with respect to the shock outcome and sellers have non-decreasing marginal costs. Multiple equilibria can be ruled out for markets, for which the auctioneer’s demand exceeds suppliers’ capacity with a positive probability. The derived equilibrium can be used to model strategic bidding behavior in pay-as-bid electricity auctions, such as the balancing mechanism of United Kingdom. Offer curves and mark-ups of the derived equilibrium are compared to results for the SFE of a uniform-price auction.