Equilibrium Bid-Price Dispersion
研究了在纯共同价值拍卖中，当投标有成本且投标者不知道对手数量时，均衡投标价格如何呈现离散分布，并利用标普500证券数据估计模型，发现投标者数量随时间下降导致流动性供给脆弱。
If bidding in a pure common-value auction is costly and bidders do not know how many others are also bidding, all equilibria are in mixed strategies. Participation is probabilistic, and bid prices are dispersed. The symmetric equilibrium is unique and yields simple analytic expressions. We use them to, for example, show that bid prices exhibit negative skew-ness. The expressions are further used to estimate the model based on bidding on a Standard & Poor’s 500 security. We find that the number of bidders declined over time, making liquidity supply fragile.