Multiple Unit Auctions and Short Squeezes
This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherw...
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| Veröffentlicht in: | The Review of financial studies 2004-07, Vol.17 (2), p.545-580 |
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| container_end_page | 580 |
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| container_issue | 2 |
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| container_title | The Review of financial studies |
| container_volume | 17 |
| creator | Nyborg, Kjell G. Strebulaev, Ilya A. |
| description | This article develops a theory of multiunit auctions where short squeezes can occur in the secondary market. Both uniform and discriminatory auctions are studied and bidders can submit multiple bids. We show that bidders with short and long preauction positions have different valuations in an otherwise common value setting. Discriminatory auctions lead to more short squeezing and higher revenue than uniform auctions, ceteris paribus. Asymptotically, as the auction size approaches infinity, the two formats lead to equivalent outcomes. Shorts employ more aggressive equilibrium bidding strategies. Most longs strategically choose to be passive. Free riding on a squeeze by small, long players has no impact on these results, but affects revenue in discriminatory auctions. |
| doi_str_mv | 10.1093/rfs/hhg038 |
| format | Article |
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| fulltext | fulltext |
| identifier | ISSN: 0893-9454 |
| ispartof | The Review of financial studies, 2004-07, Vol.17 (2), p.545-580 |
| issn | 0893-9454 1465-7368 |
| language | eng |
| recordid | cdi_proquest_miscellaneous_37878106 |
| source | EBSCOhost Business Source Complete; JSTOR Archive Collection A-Z Listing; Oxford University Press Journals All Titles (1996-Current) |
| subjects | Auction markets Auctions Bidding Central banks Economic theory Finance Free rider effect Free riding Market equilibrium Market power Revenue Secondary markets Stock exchange Studies Valuation |
| title | Multiple Unit Auctions and Short Squeezes |
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