We develop a model which combines general risk-averse preferences with anticipated loss aversion to explain bidding behavior in the first-price auction, where both risk-aversion and loss aversion induce ‘overbidding.' We then show that the nonparametric utility function and loss aversion...

We study the identification and estimation of first-price auctions with independent private values if bidders face ambiguity about the valuation distribution and have maxmin expected utility. Using variation in the number of bidders we nonparametrically identify the true valuation distribution...

We study asymmetric first-price procurements with unobserved heterogeneity and asymmetric risk-aversion. For this model, we propose a new empirical method that allows us to predict the expected procurement cost at any reserve price. Being able to perform such detailed counterfactual analysis is...

We propose an empirical method to analyze data from first-price procurements where bidders are asymmetric in their risk-aversion (CRRA) coefficients and distributions of private costs. Our Bayesian approach evaluates the likelihood by solving type-symmetric equilibria using the boundary-value...

We study a model that combines bidder-specific risk-averse preferences with anticipated loss aversion to explain bidding in induced value first-price auctions. We first show that, like risk-aversion, loss aversion causes ‘overbidding,’ relative to the bidding without risk and loss aversion....