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Auction Price Anomalies: Evidence from Wool Auctions in Australia

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  • CHRIS JONES
  • FLAVIO MENEZES
  • FRANCIS VELLA

Abstract

Using detailed Australian wool auction data we test for further evidence of pricing anomalies at sequential auctions. We find that an anomaly frequently exists and order is frequently endogenously determined. Moreover, prices increase through some sales and decrease through others. We examine whether it is possible to explain the variation in the anomaly across sales and conclude that there is no systematic relationship between the direction of the price anomaly and the characteristics of the wool or the auction. We do, however, find evidence that an anomaly is more likely in longer sales. Copyright � 2004 Economic Society of Australia..

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Bibliographic Info

Article provided by The Economic Society of Australia in its journal The Economic Record.

Volume (Year): 80 (2004)
Issue (Month): 250 (09)
Pages: 271-288

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Handle: RePEc:bla:ecorec:v:80:y:2004:i:250:p:271-288

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Cited by:
  1. Flavio Menezes & Paulo Monteiro, 2003. "Synergies and price trends in sequential auctions," Review of Economic Design, Springer, vol. 8(1), pages 85-98, August.
  2. Grant, S. & Kajii, A. & Menezes, F. & Ryan, M., 2002. "Auctions with Options to Re-auction," Discussion Paper 2002-55, Tilburg University, Center for Economic Research.
  3. Mezzetti, Claudio, 2008. "Aversion to Price Risk and the Afternoon Effect," The Warwick Economics Research Paper Series (TWERPS) 857, University of Warwick, Department of Economics.
  4. Menezes, Flavio Marques & Engelbrecht-Wiggans, Richard, 2000. "Why do bidders drop out from a sequential auction," Economics Working Papers (Ensaios Economicos da EPGE) 364, FGV/EPGE Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  5. Berg, Gerard J. van den & Ours, Jan C. van & Pradhan, Menno P., 1999. "Declining prices in the sequential Dutch flower auction of roses," Serie Research Memoranda 0040, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics.
  6. Gerard J. van den Berg & Jan C. van Ours & Menno P. Pradhan, 2001. "The Declining Price Anomaly in Dutch Dutch Rose Auctions," American Economic Review, American Economic Association, vol. 91(4), pages 1055-1062, September.
  7. Stuart Kells, 2001. "Prices In Sequential Auctions: Preliminary Evidence From Australian Rare Book Auctions," Department of Economics - Working Papers Series 820, The University of Melbourne.

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