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Underpricing and Market Power in Uniform Price Auctions

Kremer, Ilan - 2004

units awarded. The extant theory shows that these auctions are susceptible to arbitrarily large underpricing as a result of … it more realistic and are of empirical or normative interest. Underpricing is shown to be less severe than previously …

Persistent link: https://www.econbiz.de/10012739107

Portfolio Trading and Electronic Networks

Srinivasan, Sayee - 2004

Investors prefer to hold diversified combinations of assets. We take this dictum seriously and propose a bundle trading mechanism that would allow investors to trade diverse combinations of assets. The portfolio trading market is designed as an order-driven process where traders submit sealed...

Persistent link: https://www.econbiz.de/10012739214

The Effects of Biases in Probability Judgments on Market Prices

Ganguly, Ananda R. - 2008

Experimental Markets were used to examine whether individual probability judgment biases affect market prices. This issue is important to accountants because users of accounting information (especially investors) face competitive market environments. The expectation was that it would be more...

Persistent link: https://www.econbiz.de/10012773702

Effects of Seller's Information Disclosure in Equity Auctions Requiring Post-Auction Investment

Sogo, Takeharu - 2017

takeovers. After the auction, the winning bidder decides whether to make follow-up investments in the acquired asset and makes … the equity payment out of the revenue from it according to the auction outcome. Before the auction, the seller holds …

Persistent link: https://www.econbiz.de/10012952539

Towards a Functional Fee Market for Cryptocurrencies

Basu, Soumya - 2019

because miners can use any criteria for including transactions and can manipulate the results of the auction after seeing the …

Persistent link: https://www.econbiz.de/10012894612

Bidder Behavior in Multi-Unit Auctions - Evidence from Swedish Treasury Auctions

Nyborg, Kjell G. - 2011

as the auction awards in over 400 Swedish Treasury auctions. First, we document that bidders vary their prices, bid …

Persistent link: https://www.econbiz.de/10012757347

Blind Portfolios’ Auctions in Two-Rounds

Zarpala, Lamprini - 2020

This paper proposes a two-stage sealed-bid model for the execution of blind portfolios. An asset manager auctions a package of securities to a set of brokers who are unaware of the specific details about individual securities. We prove that our mechanism reduces the costs of execution for the...

Persistent link: https://www.econbiz.de/10012827080

Liquidity Risk in Sequential Trading Networks

Kariv, Shachar - 2017

This paper develops a model of intermediated exchange with budget-constrained traders who are embedded in a trading network. An experimental investigation confirms the theory's baseline predictions. Traders adopt monotone strategies with higher-budget intermediaries offering to pay more for...

Persistent link: https://www.econbiz.de/10012967921

LIBOR’s Poker

Chen, Jiakai - 2017

Recent LIBOR manipulation scandal inspired discussions of the proper design of survey-based benchmarks. I solve a version of the survey as a game of incomplete information in which the benchmark administrator is unaware of the distribution of private signals. I characterize a standard survey in...

Persistent link: https://www.econbiz.de/10012975030

CDS Auction Prices and Recovery Rates – Price Difference from the Counterparty Risk

Kolev, Mihail - 2015

(market-based recovery) and the corresponding final CDS auction prices (auction-based recovery) during the CDS auction day for … the period of 2008-2015. The counterparty risk is measured by the changes before and after the auction day in the weighted … before the auction day are able to explain the variation of the final CDS auction prices – the auction-based recoveries …

Persistent link: https://www.econbiz.de/10013012337