Determining Risk Aversion in Share Auctions

Item Type Conference or Workshop Item (Paper)
Abstract

This paper analyzes risk aversion in a discriminatory share auction in which bidders' demand schedules must be decreasing step functions with a bounded number of steps. For the case of constant absolute risk aversion, I show that the bidders' marginal valuations are set identified for any given risk-aversion coefficient. Further, I derive necessary conditions for best-response behavior, which together with the bounds on the marginal valuations allow to fit bidders' risk preferences to the data. I provide proofs of concept using data from tariff-rate quota auctions in Switzerland. The error in the estimates of the firms' indirect profit functions when ignoring risk aversion is substantial.

Authors Häfner, Samuel
Language English
Subjects economics
HSG Classification contribution to scientific community
HSG Profile Area SEPS - Quantitative Economic Methods
Date 2019
Number of Pages 65
Publisher DOI 10.2139/ssrn.3397027
Official URL https://ssrn.com/abstract=3397027
Depositing User Samuel Häfner
Date Deposited 04 Oct 2019 10:01
Last Modified 04 Oct 2019 10:45
URI: https://www.alexandria.unisg.ch/publications/258028

Download

Full text not available from this repository.

Citation

Häfner, Samuel: Determining Risk Aversion in Share Auctions. 2019.

Statistics

https://www.alexandria.unisg.ch/id/eprint/258028
Edit item Edit item
Feedback?