Multiple Unit Auctions and Short Squeezes
研究多单位拍卖中逼空现象对竞标策略和拍卖绩效的影响，发现歧视性拍卖比统一价格拍卖更易引发逼空，导致价格扭曲、拍卖方收入更高但二级市场波动更大。
This paper develops a theory of multiple unit auctions with short squeezes in the postauction market. This is especially relevant for financial and commodity markets where players may enter the auction with established forward positions. We study how a potential short squeeze impacts on bidders' strategies and auction performance. Conversely, we also study how the design of the auction affects the incidence of short squeezes. In particular, we model both uniform price and discriminatory price auctions in a true multiple unit setting, where bidders can submit multiple bids for multiple units. Our model is cast in what appears to be a common value framework. However, we show that the possibility of a short squeeze introduces different valuations of the to-be-auctioned asset between short and long bidders. Equilibrium bidding strategies depend on pre-auction allocations and the size of the auction. Short squeezes are more likely to happen after discriminatory auctions than after uniform auctions, ceteris paribus. Discriminatory auctions therefore lead to (1) more price distortion; (2) higher revenue for an auctioneer; (3) more volatility in the secondary market. This shows that a central bank or sovereign treasury, say, may face a tradeoff between revenue maximization and market distortions when choosing the design