FIN-03-046 |
NYU Stern School of Business |
February 2003
Nicolae Garleanu and Lasse Heje Pedersen
ABSTRACT
This paper studies trade in repeated auction markets. We show,
for conditionally independent signals, that an owner’s decision to sell,
expected prices, and continuation values are the same for a large class
of auction mechanisms, extending the Revenue Equivalence Theorem
to a multi-period setting. Further, we derive a robust No-Trade Theorem.
For conditionally affiliated signals, we give conditions under
which revenue ranking implies volume and welfare ranking. In particular,
we show that English auctions have larger volume and welfare
than second-price auctions, which in turn have larger volume and welfare
than first-price auctions.
Nicolae Garleanu
Institution: Wharton School, University of Pennsylvania, 3620 Locust Walk, Philadelphia, PA
19104-6367
Email: garleanu@wharton.upenn.edu
Lasse Heje Pedersen
Institution: Stern School of Business, New York University
Phone: (212) 998-0359
Fax: (212) 995-4233
Email: lpederse@stern.nyu.edu
Home Page: http://www.stern.nyu.edu/~lpederse
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