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    Heterogeneous Beliefs and Imperfect Competition in Sequential Auction Markets


    Rousseau, Fabrice and Boco, Herve and Germain, Laurent (2014) Heterogeneous Beliefs and Imperfect Competition in Sequential Auction Markets. Working Paper. National University of Ireland Maynooth. (Unpublished)

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    Abstract

    This paper analyzes a multi-auction setting in which informed strategic agents are endowed with heterogeneous noisy signals about the liquidation value of a risky asset. One result is that when the variance of the noise is small the competition between traders takes the form of a rat race during all the periods of trading. As we increase the level of the noise in the traders' signals, a waiting game phase appears and the intensity of the rat race, observed only at the last auctions, decreases. In sharp contrast with the previous literature, when the variance of the noise is very large, we only observe a waiting game

    Item Type: Monograph (Working Paper)
    Keywords: effciency; asymmetric information; noise; liquidity; adverse selection; competition;
    Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
    Item ID: 5688
    Depositing User: Ms Sandra Doherty
    Date Deposited: 19 Jan 2015 10:27
    Publisher: National University of Ireland Maynooth
    URI:

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