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    Auctioning Securities

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    98wp-auctioning-securities.pdf (52.88Kb)
    No. of downloads: 856

    Date
    1998-03
    Author
    Ausubel, Lawrence M.
    Cramton, Peter
    Citation
    "Auctioning Securities," (with Lawrence M. Ausubel) Working Paper, University of Maryland, March 1998.
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    Abstract
    Treasury debt and other divisible securities are traditionally sold in either a pay-your-bid(discriminatory) auction or a uniform-price auction. We compare these auction formats with a Vickrey auction and also with two ascending-bid auctions. The Vickrey auction and the alternative ascending-bid auction (Ausubel 1997) have important theoretical advantages for sellers. In a setting without private information, these auctions achieve the maximal revenue as a unique equilibrium in dominant strategies. In contrast, the pay your-bid, uniform-price, and standard ascending-bid auction admit a multiplicity of equilibria that yield low revenues for the seller. We show how these results extend to a setting where bidders have affiliated private information. Our results question the standard ways that securities are offered to the public.
    URI
    http://hdl.handle.net/1903/7065
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