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Stock auction bidding behavior and information asymmetries: An empirical analysis using the discriminatory auction model framework

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  • Chen, An-Sing
  • Liaw, Gwohorng
  • Leung, Mark T.
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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Banking & Finance.

    Volume (Year): 27 (2003)
    Issue (Month): 5 (May)
    Pages: 867-889

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    Handle: RePEc:eee:jbfina:v:27:y:2003:i:5:p:867-889

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    References

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    1. Bagwell, Laurie Simon, 1992. " Dutch Auction Repurchases: An Analysis of Shareholder Heterogeneity," Journal of Finance, American Finance Association, vol. 47(1), pages 71-105, March.
    2. Nyborg, Kjell G. & Sundaresan, Suresh, 1996. "Discriminatory versus uniform Treasury auctions: Evidence from when-issued transactions," Journal of Financial Economics, Elsevier, vol. 42(1), pages 63-104, September.
    3. Kandel, Shmuel & Sarig, Oded & Wohl, Avi, 1999. "The Demand for Stocks: An Analysis of IPO Auctions," Review of Financial Studies, Society for Financial Studies, vol. 12(2), pages 227-47.
    4. Yasushi Hamao & Narasimhan Jegadeesh, 1998. "An Analysis of Bidding in the Japanese Government Bond Auctions," Journal of Finance, American Finance Association, vol. 53(2), pages 755-772, 04.
    5. Back, Kerry & Zender, Jaime F, 1993. "Auctions of Divisible Goods: On the Rationale for the Treasury Experiment," Review of Financial Studies, Society for Financial Studies, vol. 6(4), pages 733-64.
    6. Simon, David P., 1994. "Markups, quantity risk, and bidding strategies at treasury coupon auctions," Journal of Financial Economics, Elsevier, vol. 35(1), pages 43-62, February.
    7. Paul Milgrom & Robert J. Weber, 1981. "A Theory of Auctions and Competitive Bidding," Discussion Papers 447R, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
    8. Yu-Jane Liu & K. C. John Wei & Gwohorng Liaw, 2001. "On the Demand Elasticity of Initial Public Offerings: An Analysis of Discriminatory Auctions," International Review of Finance, International Review of Finance Ltd., vol. 2(3), pages 151-178.
    9. Bagwell, Laurie Simon, 1991. "Shareholder Heterogeneity: Evidence and Implications," American Economic Review, American Economic Association, vol. 81(2), pages 218-21, May.
    10. Harris, Milton & Raviv, Artur, 1981. "A Theory of Monopoly Pricing Schemes with Demand Uncertainty," American Economic Review, American Economic Association, vol. 71(3), pages 347-65, June.
    11. Spindt, Paul A. & Stolz, Richard W., 1989. "The expected stop-out price in a discriminating auction," Economics Letters, Elsevier, vol. 31(2), pages 133-137, December.
    12. Ruth Seow Kuan Tan & Li Li Eng & Andrew Khoo, 1999. "The effects of offering method and trading location on the pricing of IPOs in Singapore," Applied Financial Economics, Taylor & Francis Journals, vol. 9(5), pages 491-499.
    13. Pettway, Richard H. & Kaneko, Takashi, 1996. "The effects of removing price limits and introducing auctions upon short-term IPO returns: The case of Japanese IPOs," Pacific-Basin Finance Journal, Elsevier, vol. 4(2-3), pages 241-258, July.
    14. Jegadeesh, Narasimhan, 1993. " Treasury Auction Bids and the Salomon Squeeze," Journal of Finance, American Finance Association, vol. 48(4), pages 1403-19, September.
    15. Spindt, Paul A. & Stolz, Richard W., 1992. "Are US treasury bills underpriced in the primary market?," Journal of Banking & Finance, Elsevier, vol. 16(5), pages 891-908, September.
    16. Loughran, Tim & Ritter, Jay R. & Rydqvist, Kristian, 1994. "Initial public offerings: International insights," Pacific-Basin Finance Journal, Elsevier, vol. 2(2-3), pages 165-199, May.
    17. Barry, Christopher B. & Brown, Stephen J., 1984. "Differential information and the small firm effect," Journal of Financial Economics, Elsevier, vol. 13(2), pages 283-294, June.
    18. Bernardo, Antonio E & Cornell, Bradford, 1997. " The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence," Journal of Finance, American Finance Association, vol. 52(2), pages 785-98, June.
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    Cited by:
    1. Lin, Ji-Chai & Lee, Yi-Tsung & Liu, Yu-Jane, 2007. "IPO auctions and private information," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1483-1500, May.
    2. Abdul ?Rasheed Amidu & Alirat Olayinka Agboola, 2009. "Empirical Evidence Of The Influences On First-Price Bid Auction Premiums," International Real Estate Review, Asian Real Estate Society, vol. 12(2), pages 157-170.
    3. Pettway, Richard H. & Thosar, Satish & Walker, Scott, 2008. "Auctions versus book-built IPOs in Japan: A comparison of aftermarket volatility," Pacific-Basin Finance Journal, Elsevier, vol. 16(3), pages 224-235, June.
    4. Sheng, Li, 2010. "Competing or cooperating to host mega events: A simple model," Economic Modelling, Elsevier, vol. 27(1), pages 375-379, January.

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