We study the tails of closing auction return distributions for a sample of liquidEuropean stocks. We use the stochastic … call auction model of Derksen et al. (2020a),to derive a relation between tail exponents of limit order placement … distributions andtail exponents of the resulting closing auction return distribution and we verify thisrelation empirically. Counter …

private and common-value paradigms. The bounds can be used to compare auction formats and to select optimal reserve prices. I …