Premium auctions and risk preferences: An experimental study [Dataset]

In premium auctions, the highest losing bidder receives a reward from the seller. This paper studies the private value English premium auction (EPA) for different risk attitudes of bidders. We explicitly derive the symmetric equilibrium for bidders with CARA utilities and conduct an experimental study to test the theoretical predictions. In our experiment, subjects are sorted into risk-averse and risk-loving groups. We find that revenues in the EPA are significantly higher when bidders are risk loving rather than risk averse. These results are partly consistent with theory and confirm the general view that bidders’ risk preferences constitute an important factor that affects bidding behavior and consequently also the seller’s expected revenue. However, individual subjects rarely follow the equilibrium strategy and revenue in our experiment is lower than in the symmetric equilibrium.

在溢价拍卖（premium auction）机制下，最高落标者可获得卖方给付的奖励。本文围绕竞标者的异质性风险态度，研究了私人价值英式溢价拍卖（English Premium Auction，EPA）模型。我们针对具有恒定绝对风险厌恶（Constant Absolute Risk Aversion，CARA）效用函数的竞标者，严格推导了其对称均衡策略，并开展实验研究以检验理论预测结果。本次实验中，我们将被试划分为风险厌恶型与风险爱好型两组。实验结果显示，当竞标者为风险爱好型时，EPA的拍卖收益显著高于竞标者为风险厌恶型的场景。上述结果与理论模型部分契合，验证了学界普遍共识：竞标者的风险偏好是影响其竞价行为的关键因素，进而同样会对卖方的期望收益产生重要影响。然而，个体被试极少严格遵循对称均衡策略，且本次实验中的拍卖收益低于对称均衡下的理论收益水平。