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Rousseau, Fabrice, Boco, Hervé 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 (Unpublished)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: | https://mural.maynoothuniversity.ie/id/eprint/5688 |
| Use Licence: | This item is available under a Creative Commons Attribution Non Commercial Share Alike Licence (CC BY-NC-SA). Details of this licence are available here |
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