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|Title:||Repeated Auctions with Endogenous Selling|
Pedersen, Lasse Heje
|Keywords:||auctions;revenue equivalence;no trade;volume;welfare|
|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.|
|Appears in Collections:||Finance Working Papers|
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