Information, stochastic dominance and bidding: The case of Treasury auctions

Patrick Leoni and Frederik Lundtofte

Economics Letters, 2017, vol. 153, issue C, 80-82

Abstract: We explore the link between informativeness of signals, stochastic dominance and equilibrium bids in a multi-unit auction with risk averse bidders. We show that for a particular class of signal distributions, informativeness is related to conditional first-order stochastic dominance, so that a higher degree of informativeness in the signal-fundamental distribution induces higher bids and therefore higher revenues. Our framework is relevant for discussing total revenues and informativeness in US Treasury auctions.

Keywords: Common value auctions; Informativeness; Stochastic dominance (search for similar items in EconPapers)
JEL-codes: D44 G12 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:153:y:2017:i:c:p:80-82

DOI: 10.1016/j.econlet.2017.02.004

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