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Semiparametric Estimation of First-Price Auctions with Risk-Averse Bidders
16 references·16 citing·34 second hopsampled
Semiparametric Estimation of First-Price Auctions with Risk-Averse Bidders (2011)Semiparametric Estimation of First-Price …Estimating Risk Preferences from Deductible Choice (2007)Estimating Risk Preferences f…Quantal Response Equilibrium and Overbidding in Private-Value Auctions (2002)Quantal Response Equilibrium …The Economics of Risk and Time (2001)The Economics of Risk and TimeSingle Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information (2001)Single Crossing Properties an…Panel Data Discrete Choice Models with Lagged Dependent Variables (2000)Panel Data Discrete Choice Mo…Optimal Nonparametric Estimation of First-price Auctions (2000)Optimal Nonparametric Estimat…Equilibrium in Sealed High Bid Auctions (2000)Equilibrium in Sealed High Bi…Auction Theory: A Guide to the Literature (1999)Auction Theory: A Guide to th…Standard Auctions with Financially Constrained Bidders (1998)Standard Auctions with Financ…Estimation of a Panel Data Sample Selection Model (1997)Estimation of a Panel Data Sa…Theory and individual behavior of first-price auctions (1988)Theory and individual behavio…Optimal Auctions with Risk Averse Buyers (1984)Optimal Auctions with Risk Av…A Theory of Auctions and Competitive Bidding (1982)A Theory of Auctions and Comp…Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Small an…Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small an…COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS (1961)COUNTERSPECULATION, AUCTIONS,…Identifying and Testing Models of Managerial Compensation (2015)Identifying and Testing Model…Econometrics for Learning Agents (2015)Econometrics for Learning Age…Moral hazard, adverse selection, and health expenditures: A semiparametric analysis (2014)Moral hazard, adverse selecti…What model for entry in first-price auctions? A nonparametric approach (2013)What model for entry in first…Identification and Inference in Ascending Auctions With Correlated Private Values (2013)Identification and Inference …The dynamics of distributive politics (2011)The dynamics of distributive …Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements (2011)Risk aversion and asymmetry i…Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions (2009)Nonparametric Identification …Online Auction Demand (2008)Online Auction DemandChapter 64 Structural Econometric Modeling: Rationales and Examples from Industrial Organization (2007)Chapter 64 Structural Econome…Chapter 60 Nonparametric Approaches to Auctions (2007)Chapter 60 Nonparametric Appr…Bidding for Incomplete Contracts: An Empirical Analysis (2006)Bidding for Incomplete Contra…Asymmetric information about rivals' types in standard auctions: An experiment (2006)Asymmetric information about …Timber Sale Auctions with Random Reserve Prices (2003)Timber Sale Auctions with Ran…Precautionary Bidding in Auctions (2003)Precautionary Bidding in Auct…ACTA ALIMENTARIA VOL. 28 (1999)ACTA ALIMENTARIA VOL. 28Good News and Bad News: Representation Theorems and Applications (1981)Optimal Auction Design (1981)The Theory of Incentives: The Principal-Agent Model (2001)Field Experiments (2004)Essays in the Theory of Risk-Bearing. (1972)Strategic Asset Allocation (2002)Idiosyncratic Risk Matters! (2003)Eliciting Risk and Time Preferences (2008)Theory of games and economic behavior (2019)A theory of incentives in procurement and regulation (1994)Deciding Between Competition and Collusion (2003)Inference with an Incomplete Model of English Auctions (2003)Econometric Tools for Analyzing Market Outcomes (2007)A Theory of Competition Among Pressure Groups for Political Influence (1983)Monotone Comparative Statics under Uncertainty (2002)Strategic Manipulation of Internet Opinion Forums: Implications for Consumers and Firms (2006)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Risk Aversion and Incentive Effects (2002)Individual Preferences, Monetary Gambles, and Stock Market Participation: A Case for Narrow Framing (2006)Multiple Dimensions of Private Information: Evidence from the Long-Term Care Insurance Market (2006)Adverse Selection and Inertia in Health Insurance Markets: When Nudging Hurts (2013)A Course in Game Theory (1994)Optimal Selling Strategies under Uncertainty for a Discriminating Monopolist when Demands are Interdependent (1985)How Auctions Work for Wine and Art (1989)The Economist as Engineer: Game Theory, Experimentation, and Computation as Tools for Design Economics (2002)Financial Intermediation and Delegated Monitoring (1984)Well-being : the foundations of hedonic psychology (1999)The Contributions of the Economics of Information to Twentieth Century Economics (2000)What Really Matters in Auction Design (2002)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)On the measurement of inequality (1970)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The arbitrage theory of capital asset pricing (1976)
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References

  • 1961COUNTERSPECULATION, AUCTIONS, AND COMPETITIVE SEALED TENDERS7,719 cited
  • 1964Risk Aversion in the Small and in the Large4,964 cited
  • 1976Risk Aversion in the Small and in the Large4,655 cited
  • 1982A Theory of Auctions and Competitive Bidding3,770 cited
  • 1999Auction Theory: A Guide to the Literature1,414 cited
  • 2001The Economics of Risk and Time1,361 cited
  • 1984Optimal Auctions with Risk Averse Buyers748 cited
  • 2000Optimal Nonparametric Estimation of First-price Auctions710 cited
  • 2007Estimating Risk Preferences from Deductible Choice708 cited
  • 2001Single Crossing Properties and the Existence of Pure Strategy Equilibria in Games of Incomplete Information569 cited
  • 2000Panel Data Discrete Choice Models with Lagged Dependent Variables557 cited
  • 1997Estimation of a Panel Data Sample Selection Model477 cited
  • 2000Equilibrium in Sealed High Bid Auctions449 cited
  • 2002Quantal Response Equilibrium and Overbidding in Private-Value Auctions406 cited
  • 1988Theory and individual behavior of first-price auctions391 cited
  • 1998Standard Auctions with Financially Constrained Bidders

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Cited by

  • 2007Chapter 64 Structural Econometric Modeling: Rationales and Examples from Industrial Organization180 cited
  • 2009Nonparametric Identification of Risk Aversion in First-Price Auctions Under Exclusion Restrictions168 cited
  • 1999ACTA ALIMENTARIA VOL. 28142 cited
  • 2007Chapter 60 Nonparametric Approaches to Auctions133 cited
  • 2013Identification and Inference in Ascending Auctions With Correlated Private Values103 cited
  • 2006Asymmetric information about rivals' types in standard auctions: An experiment101 cited
  • 2003Precautionary Bidding in Auctions98 cited
  • 2003Timber Sale Auctions with Random Reserve Prices95 cited
  • 2011The dynamics of distributive politics90 cited
  • 2013What model for entry in first-price auctions? A nonparametric approach85 cited
  • 2006Bidding for Incomplete Contracts: An Empirical Analysis82 cited
  • 2014Moral hazard, adverse selection, and health expenditures: A semiparametric analysis79 cited
  • 2015Identifying and Testing Models of Managerial Compensation61 cited
  • 2008Online Auction Demand59 cited
  • 2015Econometrics for Learning Agents58 cited
  • 2011Risk aversion and asymmetry in procurement auctions: Identification, estimation and application to construction procurements54 cited