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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27291
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| Title: | Repeated Auctions with Endogenous Selling |
| Authors: | Garleanu, Nicolae
Pedersen, Lasse Heje |
| Keywords: | auctions
revenue equivalence
no trade
volume
welfare |
| Issue Date: | 20-Feb-2003 |
| Series/Report no.: | FIN-03-046 |
| Abstract: | This paper studies trade in repeated auction markets. We show, for
conditionally independent signals, that an owner’s decision to
sell, expected prices, and continuation values are the same for a large
class of auction mechanisms, extending the Revenue Equivalence Theorem
to a multi-period setting. Further, we derive a robust No-Trade Theorem.
For conditionally affiliated signals, we give conditions under which
revenue ranking implies volume and welfare ranking. In particular, we
show that English auctions have larger volume and welfare than
second-price auctions, which in turn have larger volume and welfare than
first-price auctions. |
| URI: | http://hdl.handle.net/2451/27291 |
| Appears in Collections: | Finance Working Papers
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