@article{67f9c7005c284b5ea7570ff80cb929e9,
title = "Equilibrium Bid-Price Dispersion",
abstract = "If bidding in a pure common-value auction is costly and bidders do not know how many others are also bidding, all equilibria are in mixed strategies. Participation is probabilistic, and bid prices are dispersed. The symmetric equilibrium is unique and yields simple analytic expressions. We use them to, for example, show that bid prices exhibit negative skew-ness. The expressions are further used to estimate the model based on bidding on a Standard & Poor{\textquoteright}s 500 security. We find that the number of bidders declined over time, making liquidity supply fragile.",
author = "Boyan Jovanovic and Menkveld, {Albert J.}",
note = "Funding Information: We thank Ali Horta{\c c}su, two anonymous referees, Kenneth Burdett, Benjamin Connault, Darrell Duffie, Xiaoqi Xu, and conference participants at the tenth Philadelphia Search and Matching Conference for valuable comments. We thank the National Science Foundation and the Netherlands Organisation for Scientific Research (NWO) for support and Maikol Cerda, Sean Flynn, Seher Gupta, Bj{\"o}rn Hagstr{\"o}mer, Wenqian Huang, Sai Ma, Gaston Navarro, Hargungeet Singh, Walter Verwer, Dong Wei, Xi Xiong, and Shihao Yu for assistance. Albert J. Menkveld is grateful to the NWO for a Vici grant. Data are provided as supplementary material online. This paper was edited by Ali Horta{\c c}su. Publisher Copyright: {\textcopyright} 2021 The University of Chicago. All rights reserved. Published by The University of Chicago Press.",
year = "2022",
month = feb,
doi = "10.1086/717454",
language = "English (US)",
volume = "130",
pages = "426--461",
journal = "Journal of Political Economy",
issn = "0022-3808",
publisher = "University of Chicago Press",
number = "2",
}