Hedging Winner's Curse with Multiple Bids: Evidence from the Portuguese Treasury Bill Auction
利用葡萄牙国库券拍卖数据，发现投标人通过提交更多出价并分散价格来应对赢家诅咒，尤其在市场利率波动大或知情投标人多时更明显。
Auctions of government securities typically permit bidders to enter multiple price-quantity bids. Despite the widespread adoption of this institutional feature and its use by bidders, the motivations behind its use and its effects on auction outcomes are not well understood theoretically and have been little explored empirically. This paper proposes that bidders use multiple bids to adjust for winner's curse: By spreading her bids, a bidder aligns her outcome more closely to the aggregate outcome of the auction. This hypothesis is tested using bidding data from treasury bill auctions in Portugal. I find that, ceteris paribus, a bidder submits a greater number of bids and disperses prices on these bids more widely when there is a greater potential for winner's curse. In particular, both these measures of bid-spreading increase with the volatility of market interest rates and the expected number of participating well-informed bidders. © 1999 by the President and Fellows of Harvard College and the Massachusetts Institute of Technology