This paper shows point identification in first-price auction models with risk aversion and unobserved auction heterogeneity by exploiting multiple bids from each auction and variation in the number of bidders. The required exclusion restriction is shown to be consistent with a large class of...

We study identification and inference in first-price auctions with risk averse bidders and selective entry, building on a flexible entry and bidding framework we call the Affiliated Signal with Risk Aversion (AS-RA) model. Assuming that the econometrician observes either exogenous variation in...

We extent the point-identification result in Guerre, Perrigne, and Vuong (2009) to environments with one-dimensional unobserved auction heterogeneity. We also show a robustness result for the case where the exclusion restriction used for point identification is violated: We provide conditions to...

We study identification and inference in first-price auctions with risk averse bidders and selective entry, building on a flexible entry and bidding framework we call the Affiliated Signal with Risk Aversion (AS-RA) model. Assuming that the econometrician observes either exogenous variation in...

In first-price sealed-bid auctions, a power probability weighting function is observationally equivalent to a model of constant absolute risk aversion. By comparing auctions with different ceilings on a computerized opponent’s bid space, we can separate subjective probability weighting and...

This paper analyzes risk aversion in discriminatory share auctions. I generalize the k-step share auction model of Kastl (2011, 2012) and establish that marginal profits are set identified for any given coefficient of constant absolute risk aversion. I also derive necessary conditions for...

Buy price auctions merge a posted price option with a standard bidding mechanisms, and have been used by various online 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....