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

Patrick Leoni, Frederik Lundtofte*

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Abstrakt

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.

OriginalsprogEngelsk
TidsskriftEconomics Letters
Vol/bind153
Sider (fra-til)80-82
Antal sider3
ISSN0165-1765
DOI
StatusUdgivet - 1 apr. 2017
Udgivet eksterntJa

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