The Prospect Theory and First Price Auctions: an Explanation of Overbidding

• Autorzy: Dushko Josheski , Mico Apostolov

Warianty tytułu

Teoria perspektywy i aukcje pierwszej ceny: wyjaśnienie przebijania

• Języki publikacji: EN

Abstrakty

EN

This paper attempted using the prospect theory to explain overbidding in first price auctions. The standard outlook in the literature on auctions is that bidders overbid, but the probability weighting functions are nonlinear as in the prospect theory, so they not only tend to underweight the probabilities of winning the auction but also overweight, so that there are overbidders and underbidders. This paper proves that to some extent, non-linear weighting functions do explain overbidding the risk-neutral Nash equilibrium valuation (RNNE). Furthermore, coherent risk measures, such as certainty equivalent and translation invariance, were used to show loss aversion among bidders, and in line with the prospect theory, convexity was also confirmed with sub-additivity, monotonicity and with positive homogeneity.(original abstract)

W artykule podjęto próbę wykorzystania teorii perspektywy do wyjaśnienia przebijania cen w przetargach pierwszej ceny. Standardowym wynikiem w literaturze związanej z aukcjami jest to, że licytanci przebijają ceny, ale funkcje ważenia prawdopodobieństwa są nieliniowe, jak w teorii perspektywy, więc nie tylko mają tendencję do zaniżania wagi prawdopodobieństw wygrania aukcji, ale także przeważania, tak że są licytanci przebijający i oferenci słabsi. Artykuł ten dowodzi, że do pewnego stopnia nieliniowe funkcje ważenia wyjaśniają zawyżanie neutralnej pod względem ryzyka wyceny równowagi Nasha (RNNE). Ponadto zastosowano spójne miary ryzyka, takie jak ekwiwalent pewności i niezmienniczość translacji, aby wykazać awersję do strat wśród oferentów zgodnie z teorią perspektywy, wypukłość została również potwierdzona subaddytywnością, monotonicznością i dodatnią jednorodnością.(abstrakt oryginalny)

Słowa kluczowe

EN

Prospect theory; First price auction; Econometrics

PL

Teoria perspektywy; Aukcja pierwszej ceny; Ekonometria

• Czasopismo: Ekonometria / Uniwersytet Ekonomiczny we Wrocławiu
• Rocznik: 2023
• Tom: 27
• Numer: nr 1
• Strony: 33--74

Twórcy

autor

Dushko Josheski

• Business Administration, University Goce Delchev, Stip, Macedonia

autor

Mico Apostolov

• Business Administration, University Goce Delchev, Stip, Macedonia

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Identyfikatory

DOI

10.15611/eada.2023.1.03