Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/118050
Authors: 
Nyborg, Kjell G.
Strebulaev, Ilya A.
Year of Publication: 
2003
Series/Report no.: 
Nota di Lavoro, Fondazione Eni Enrico Mattei 27.2003
Abstract: 
This paper develops a theory of multiple unit auctions with short squeezes in the post- auction market. This is especially relevant for financial and commodity markets where players may enter the auction with established forward positions. We study how a potential short squeeze impacts on bidders' strategies and auction performance. Conversely, we also study how the design of the auction affects the incidence of short squeezes. In particular, we model both uniform price and discriminatory price auctions in a true multiple unit setting, where bidders can submit multiple bids for multiple units. Our model is cast in what appears to be a common value framework. However, we show that the possibility of a short squeeze introduces different valuations of the to-be-auctioned asset between short and long bidders.
Subjects: 
Multiple unit auction
uniform auction
discriminatory auction
treasury auction
repo auction
short squeeze
market manipulation
market power
JEL: 
D44
G12
G20
D62
Document Type: 
Working Paper

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