Rates of information aggregation in common value auctions

We study the rates at which transaction prices aggregate information in common value auctions under the different information structures in Wilson (Rev. Econ. Stud. 44 (1977) 511) and Pesendorfer and Swinkels (Econometrica 65 (1997) 1247). We consider uniform-price auctions in which k identical objects of unknown value are auctioned to n bidders, where both n and k are allowed to diverge to infinity, and k=n converges to a number in 1⁄20; 1Þ: The Wilson assumptions lead to information aggregation at a rate proportional to n= ffiffiffi k p ; but the price aggregates information at a rate proportional to ffiffiffi k p in the PS setting. We also consider English auctions, and investigate whether the extra information revealed in equilibrium improves convergence rates in these auctions. r 2003 Elsevier Inc. All rights reserved. JEL classification: D44; D82