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La décroissance des prix au cours d'enchères séquentielles : sources et mesures


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  • Stéphanie Vincent
  • Olivier Chanel


[eng] Decreasing Prices in Sequential Auctions: Sources and Measurement by Olivier Chanel and Stéphanie Vincent . Price trends in sequential auctions are a major issue for all players concerned: buyers, sellers and auctioneers. When price trends no longer follow a random walk pattern, they reveal missed opportunities and therefore constitute an "anomaly." . First we consider the explanations provided by auction theory for the decreasing prices revealed by some empirical studies. These explanations relate to assumptions about the buyers' preferences and constraints, as well as to the institutional rules and the organisation of the auction per se. Then, we look at the various techniques for measuring price trends in sequential auctions. Finally, we use simulated samples and data from wine auctions to verify their ability to aggregate individual price variations correctly. Resampling techniques enable us to analyse statistical properties and construct tests. [fre] La décroissance des prix au cours d'enchères séquentielles : sources et mesure par Olivier Chanel et Stéphanie Vincent . La tendance des prix au cours d'enchères séquentielles constitue un enjeu d'importance pour l'ensemble des acteurs (acheteurs, vendeurs et commissaires-priseurs) : lorsqu'elle s'avère ne plus suivre une marche aléatoire, elle révèle des opportunités non saisies et constitue alors "une anomalie". . Nous envisageons dans un premier temps les réponses apportées par la théorie des enchères pour expliquer la décroissance mise en évidence dans certaines études empiriques. Ces justifications concernent les hypothèses sur les préférences et les contraintes des acheteurs, mais aussi sur les règles institutionnelles et l'organisation même de l'enchère. Nous examinons ensuite différentes techniques mesurant la tendance des prix dans les enchères séquentielles. Enfin, nous vérifions sur des échantillons simulés et des données d'enchères de vins leur capacité à agréger correctement des variations individuelles de prix. L'utilisation de techniques de rééchantillonnage permet l'étude des propriétés statistiques et la construction de tests.

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Bibliographic Info

Article provided by Programme National Persée in its journal Économie & prévision.

Volume (Year): 132 (1998)
Issue (Month): 1 ()
Pages: 139-157

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Handle: RePEc:prs:ecoprv:ecop_0249-4744_1998_num_132_1_5905

Note: DOI:10.3406/ecop.1998.5905
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  1. Fl. Menezes & P.K.Monteiro, 1994. "Sequential Asymmetric Auctions With Endogenous Participation," Microeconomics 9402001, EconWPA, revised 09 Jun 1994.
  2. McAfee, R Preston & McMillan, John, 1987. "Auctions and Bidding," Journal of Economic Literature, American Economic Association, vol. 25(2), pages 699-738, June.
  3. McAfee, R. Preston & McMillan, John, 1987. "Auctions with a stochastic number of bidders," Journal of Economic Theory, Elsevier, vol. 43(1), pages 1-19, October.
  4. William Vickrey, 1961. "Counterspeculation, Auctions, And Competitive Sealed Tenders," Journal of Finance, American Finance Association, vol. 16(1), pages 8-37, 03.
  5. McAfee R. Preston & Vincent Daniel, 1993. "The Declining Price Anomaly," Journal of Economic Theory, Elsevier, vol. 60(1), pages 191-212, June.
  6. Milgrom, Paul R & Weber, Robert J, 1982. "A Theory of Auctions and Competitive Bidding," Econometrica, Econometric Society, vol. 50(5), pages 1089-1122, September.
  7. Bernhardt, Dan & Scoones, David, 1993. "A Note on Sequential Auctions," Working Papers 829, California Institute of Technology, Division of the Humanities and Social Sciences.
  8. repec:feb:framed:00135 is not listed on IDEAS
  9. Black, Jane & De Meza, David, 1992. "Systematic Price Differences between Successive Auctions Are No Anomaly," Journal of Economics & Management Strategy, Wiley Blackwell, vol. 1(4), pages 607-28, Winter.
  10. Engelbrecht-Wiggans, Richard, 1988. "Revenue equivalence in multi-object auctions," Economics Letters, Elsevier, vol. 26(1), pages 15-19.
  11. Engelbrecht-Wiggans, Richard, 1994. "Sequential auctions of stochastically equivalent objects," Economics Letters, Elsevier, vol. 44(1-2), pages 87-90.
  12. Lusht, Kenneth M, 1994. "Order and Price in a Sequential Auction," The Journal of Real Estate Finance and Economics, Springer, vol. 8(3), pages 259-66, May.
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Cited by:
  1. Claude Montmarquette & Jacques Robert, 1999. "Sequential Auctions with Multi-Unit Demand: Theory, Experiments and Simulations," CIRANO Working Papers 99s-46, CIRANO.


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