Auctions with selective entry and risk averse bidders: theory and evidence
研究了风险厌恶投标者在选择性进入下的拍卖行为，建立了一级价格拍卖和升价拍卖的均衡模型，发现不同风险厌恶形式下投标者进入行为有差异，并利用木材拍卖数据检验了风险厌恶形式。
We study auctions with selective entry and risk averse bidders. Our model accounts for risk averse bidders' endogenous participation decision and thus encompasses the existing entry models. We establish entry and bidding equilibrium in first‐price auction and ascending auction mechanisms and show that bidders' entry behavior differs between these two mechanisms with different forms of risk aversion. Our approach provides testable implications of risk aversion in terms of entry behavior. We analyze a timber auction data set and propose a simple test for the form of bidders' risk aversion based on our model implications.