Inference of bidders’ risk attitudes in ascending auctions with endogenous entry

Hanming Fang and Xun Tang

Journal of Econometrics, 2014, vol. 180, issue 2, 198-216

Abstract: Bidders’ risk attitudes have key implications for the choices of revenue-maximizing auction formats. In ascending auctions, bid distributions do not provide information about risk preference. We infer risk attitudes using distributions of transaction prices and participation decisions in ascending auctions with entry costs. Nonparametric tests are proposed for two distinct scenarios: first, the expected entry cost can be consistently estimated from the data; second, the data does not report entry costs but contains exogenous variation in potential competition and auction characteristics. We also show the identification of risk attitudes in ascending auctions with selective entry, where bidders receive entry-stage signals correlated with their values.

Keywords: Ascending auctions; Risk attitudes; Endogenous entry; Tests (search for similar items in EconPapers)
JEL-codes: C12 C14 D44 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (20)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0304407614000426
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Inference of Bidders' Risk Attitudes in Ascending Auctions with Endogenous Entry (2013)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:econom:v:180:y:2014:i:2:p:198-216

DOI: 10.1016/j.jeconom.2014.02.010

Access Statistics for this article

Journal of Econometrics is currently edited by T. Amemiya, A. R. Gallant, J. F. Geweke, C. Hsiao and P. M. Robinson

More articles in Journal of Econometrics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().