We study when equilibrium prices can aggregate information in an auction market with a large population of traders. Our main result identifies a property of information---the betweenness property---that is both necessary and sufficient for information aggregation. The characterization provides...

By using the equality test and panel regression, we study the effects of around the last five minutes call auction of underlying stock market on price behaviors of continuous trading TAIFEX index futures. First, continuous trading enables a better reaction to new information and improved risk...

We analyze a divisible good uniform‐price auction that features two groups, each with a finite number of identical bidders, who compete in demand schedules. In the linear‐quadratic‐normal framework, this paper presents conditions under which the unique equilibrium in linear demands exists...

The Hong Kong Stock Exchange (HKEx) adopted a closing call auction in 2008 but suspended its operation ten months later due to suspicion of widespread price manipulation. The Exchange relaunched the auction in 2016 with manipulation-deterrence enhancements. We exploit this unique setting by...

Using a proprietary database of failed bank auction participants, I examine whether acquiring a failed bank creates shareholder value by using the losers' post-acquisition performance as a counterfactual. In the three years post-acquisition, acquirers with Shared-Loss Agreements (SLAs), where...

This paper studies the $\alpha-$double auction in Xu et al. (2014) and extends their results to the case where $\alpha$ is time-varying in a manner governed by a time non-homogeneous Markov chain specified in Ram et al. (2009) over a set of states defined by $R\equiv\{\alpha_1, \alpha_2, \cdots,...