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Call Auction Markets with Risk-Averse Specialists
Vitale, Paolo - 2013
the transaction price according to semi-strong form efficiency. We see that Kyle's call auction market is no longer a …
Persistent link: https://www.econbiz.de/10013075204
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Risk-averse insider trading in multi-asset sequential auction markets
Vitale, Paolo - In: Economics letters 117 (2012) 3, pp. 673-675
Persistent link: https://www.econbiz.de/10009679773
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Insider trading in sequential auction markets with risk-aversion and time-discounting
Vitale, Paolo - In: The European journal of finance 23 (2017) 13/15, pp. 1267-1279
Persistent link: https://www.econbiz.de/10012014380
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Continuous auctions and insider trading uniqueness and risk aversion
Cho, Kyung-Ha - In: Finance and stochastics 7 (2003) 1, pp. 47-71
Persistent link: https://www.econbiz.de/10001724640
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An experimental study of precautionary bidding : conference paper
Kocher, Martin; Pahlke, Julius; Trautmann, Stefan T. - 2013
Auctions often involve goods exhibiting a common knowledge ex-post risk. Precautionary bidding predicts that under expected utility, ex-post risk leads DARA bidders to reduce their bids by more than the appropriate risk premium. Because the degree of riskiness of the good, and bidders risk...
Persistent link: https://www.econbiz.de/10010344662
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How accurately do structural asymmetric first-price auction estimates represent true valuations?
Chernomaz, Kirill; Yoshimoto, Hisayuki - In: Journal of econometric methods 9 (2020) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10012197294
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Identification of time and risk preferences in buy price auctions
Ackerberg, Daniel A.; Hirano, Keisuke; Shahriar, Quazi - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 809-849
auction sites including eBay and General Motors Assistance Corporation. A buyer in a buy price auction can accept the buy … price to win with certainty and end the auction early. Intuitively, the buy price option may appeal to bidders who are risk … aversion and time preferences. We develop a private value model of bidder behavior in a buy price auction with a temporary buy …
Persistent link: https://www.econbiz.de/10011801642
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Identification of time and risk preferences in buy price auctions
Ackerberg, Daniel A.; Hirano, Keisuke; Shahriar, Quazi - In: Quantitative economics : QE ; journal of the … 8 (2017) 3, pp. 809-849
Persistent link: https://www.econbiz.de/10011804960
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The role of varying risk attitudes in an auction with a buyout option
Mathews, Timothy; Katzman, Brett - In: Economic theory : official journal of the Society for … 27 (2006) 3, pp. 597-613
Persistent link: https://www.econbiz.de/10003277036
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Estimating risk aversion from ascending and sealed-bid auctions : the case of timber auction data
Lu, Jingfeng; Perrigne, Isabelle - In: Journal of applied econometrics 23 (2008) 7, pp. 871-896
Persistent link: https://www.econbiz.de/10003790492