Hong, Han and Shum, Matthew (2004) Rates of information aggregation in common value auctions. Journal of Economic Theory, 116 (1). pp. 1-40. ISSN 0022-0531 http://resolver.caltech.edu/CaltechAUTHORS:HONjet04
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Abstract
We study the rates at which transaction prices aggregate information in common value auctions under the different information structures in Wilson (Rev. Econ. Stud. 44 (1977) 511) and Pesendorfer and Swinkels (Econometrica 65 (1997) 1247). We consider uniform-price auctions in which k identical objects of unknown value are auctioned to n bidders, where both n and k are allowed to diverge to infinity, and k/n converges to a number in [0,1). The Wilson assumptions lead to information aggregation at a rate proportional to n/√k , but the price aggregates information at a rate proportional to n/√k in the PS setting. We also consider English auctions, and investigate whether the extra information revealed in equilibrium improves convergence rates in these auctions.
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| Additional Information: | Copyright © 2003 Elsevier. Received 29 August 2002; Revised 28 April 2003. Available online 24 June 2003. We are indebted to Eddie Dekel, Wolfgang Pesendorfer, Mark Satterthwaite, the associate editor, and two anonymous referees for detailed discussions and insightful advice. In addition, we benefited from discussions with Jimmy Chan, Victor Chernozhukov, Hanming Fang, Phil Haile, Bo Honore, Hidehiko Ichimura, Vijay Krishna, Harry Paarsch, Frank Wolak, and participants at various seminars. We gratefully acknowledge support from the NSF (SES-0079495, SES-0003352) and SSHRC. | ||||||||
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| Subject Keywords: | Large auctions; Information aggregation; Convergence rates | ||||||||
| Record Number: | CaltechAUTHORS:HONjet04 | ||||||||
| Persistent URL: | http://resolver.caltech.edu/CaltechAUTHORS:HONjet04 | ||||||||
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| Usage Policy: | No commercial reproduction, distribution, display or performance rights in this work are provided. | ||||||||
| ID Code: | 12304 | ||||||||
| Collection: | CaltechAUTHORS | ||||||||
| Deposited By: | Lindsay Cleary | ||||||||
| Deposited On: | 12 Nov 2008 22:17 | ||||||||
| Last Modified: | 26 Dec 2012 10:30 |
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