Similar Search Results

Toth, Bence - 2014

Order flow in equity markets is remarkably persistent in the sense that order signs (to buy or sell) are positively autocorrelated out to time lags of tens of thousands of orders, corresponding to many days. Two possible explanations are herding, corresponding to positive correlation in the...

Persistent link: https://www.econbiz.de/10013051729

Strategic behavior and underpricing in uniform price auctions : evidence from Finnish treasury auctions

Keloharju, Matti; Nyborg, Kjell G.; Rydqvist, Kristian - 2003

Persistent link: https://www.econbiz.de/10001753251

Comparing open and sealed bid auctions : theory and evidence from timber auctions

Athey, Susan; Levin, Jonathan; Seira, Enrique - 2004

Persistent link: https://www.econbiz.de/10002994053

Behavioral biases of dealers in US Treasury auctions

Goldreich, David - 2004

Persistent link: https://www.econbiz.de/10002994270

Empirical Implications of Equilibrium Bidding in First-Price, Symmetric, Common Value Auctions

Hendricks, Kenneth; Pinkse, Joris; Porter, Robert H. - 2003

This paper studies federal auctions for wildcat leases on the Outer Continental Shelf from 1959 to 1970. These are leases where bidders privately acquire (at some cost) noisy, but equally informative signals about the amount of oil and gas that may be present. We develop a test of equilibrium...

Persistent link: https://www.econbiz.de/10014175755

The Fragility of Discretionary Liquidity Provision - Lessons from the Collapse of the Auction Rate Securities Market

Han, Song; Li, Dan - 2011

. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive … dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence … that auction dealers acted at their own discretion as "market makers" before the market collapsed. We show that this …

Persistent link: https://www.econbiz.de/10014179447

Buying Fields and Marrying Daughters : An Empirical Analysis of Rosca Auctions in a South Indian Village

Klonner, Stefan - 2003

A bidding rotating savings and credit association (Rosca) is modeled as a sequence of symmetric-independent-private-value auctions with price-proportional benefits to bidders. We estimate a structural econometric model which, by introducing an altruistic component into each bidder's utility...

Persistent link: https://www.econbiz.de/10014085911

Are Estimates of Asymmetric First-Price Auctions Credible? Semi- & Nonparametric Analyses : Online Appendix

Chernomaz, Kirill - 2017

This online appendix contains the plots and supplemental descriptions for "Are Estimates of Asymmetric First-Price Auctions Credible? Semi- & Nonparametric Analyses."The paper "Are Estimates of Asymmetric First-Price Auctions Credible? Semi- & Nonparametric Analyses" to which this Supplement...

Persistent link: https://www.econbiz.de/10012973476

The Fragility of Discretionary Liquidity Provision : Lessons from the Collapse of the Auction Rate Securities Market

Han, Song - 2015

. The laboratory of our study is the recent collapse of the auction rate securities (ARS) market. Using a comprehensive … dataset constructed from auction reports and intraday transactions data on municipal ARS, we present quantitative evidence … that auction dealers acted at their own discretion as “market makers” before the market collapsed. We show that this …

Persistent link: https://www.econbiz.de/10013038246

Semiparametric Estimation of First-Price Auction Models

Aryal, Gaurab - 2019

In this paper we propose a two-step semiparametric procedure to estimate first-price auction models. In the first … accommodate multiple auction covariates. Monte Carlo exercises show that the estimator performs well both in estimating the value …

Persistent link: https://www.econbiz.de/10012904820