Three essays in economics and finance

Auctions withparticipation costs;Security-bid auctions;Entry;Informationdisclosure;Equity auctions;Post-auction investment decisions;Endogenousquality choice;Securitization;Structured finance products;Moral hazard;Adverse selection

Sogo, Takeharu

关键词: Auctions withparticipation costs;    Security-bid auctions;    Entry;    Informationdisclosure;    Equity auctions;    Post-auction investment decisions;    Endogenousquality choice;    Securitization;    Structured finance products;    Moral hazard;    Adverse selection;   

Others  :  https://www.ideals.illinois.edu/bitstream/handle/2142/89001/SOGO-DISSERTATION-2015.pdf?sequence=1&isAllowed=y

美国|英语

来源: The Illinois Digital Environment for Access to Learning and Scholarship

【 摘 要 】

This dissertation consists of three essays. The first essay is joint work with Dan Bernhardt. We endogenize entry to a security-bid auction, where participation is costly, and bidders must decide given their private valuations whether to participate. We first suppose that the minimum reserve security-bidyields the seller an expected revenue equal to the asset's stand-alone value to the seller. Demarzo et al. (2005) establish that with a fixed number of bidders, auctions with steeper securities yield the seller more revenues.Counterintuitively, we find that auctions with steeper securities also attract more entry, further enhancing the revenues from such auctions. We then establish that with optimal reserve securities,auctions with steeper securities always yield higher expected revenues.In the second essay, I consider a situation in which a winning bidder of anequity auction has an investment opportunity after the auction and the sellerhas private information about the return of the post-auction investment. Ishow that in such a situation, in contrast to the seminal "linkage principle" by Milgrom and Weber (1982), the seller'sexpected revenue may be higher when not disclosing her private information atall than when committing to publicly announce her private informationregardless of whether it is positive or negative.The third essay is joint work with Keiichi Kawai. The securitization of structured finance products entails three types ofinefficiency: the issuer's moral hazard when screening underlying assets(ex-ante inefficiency), the issuer's incentive to repackage underlying assetsinto separate securities even when doing so is socially inefficient (interiminefficiency), and adverse selection in the market (ex-post inefficiency). Toanalyze the interplay of these inefficiencies and their welfare implications,we consider a situation wherein buying medium-value assets and issuingmedium-value securities are first-best. However, we show that the issuer notonly buys low-value underlying assets but also repackages underlying assets toissue two types of securities of different values despite paying a sociallywasteful cost.