The success of online auctions has given buyers access to greater product diversity with potentially lower prices. It has provided sellers with access to large numbers of potential buyers and reduced transaction costs by enabling auctions to take place without regard to time or place. However it is difficult to spend more time period with system and closely monitor the auction until auction par...

This paper addresses several questions surrounding volatility forecasting and its use in the estimation of optimal hedging ratios. Specifically: Are there economic gains by nesting time-series econometric models (GARCH) and dynamic programming models (therefore forecasting volatility several periods out) in the estimation of hedging ratios whilst accounting for volatility in the futures bid–ask...

This paper aims to study the effect of herding on buy and hold, momentum and contrarian strategy. In this research, the cross-sectional absolute deviation is used to identify herding behavior in twenty industries in Tehran stock market. It is observed that the down and boom periods had more industries with herding. Moreover, the weak herding is more common than the strong herding in this market...

Cloud providers have begun to allow users to bid for surplus servers on a spot market. These servers are allocated if a user’s bid price is higher than their market price and revoked otherwise. Thus, analyzing price data to derive optimal bidding strategies has become a popular research topic. In this paper, we argue that sophisticated bidding strategies do not provide any advantages over simpl...

In this paper we test for the inclusion of the bid-ask spread in the consumption CAPM, in the UK stock market over the time period of 1980-2000. Two econometric models are used; first, Fisher’s (1994) asset pricing model is estimated by GMM, and secondly, the VAR approach proposed by Campbell and Shiller is extended to include the bid-ask spread. Overall the statistical tests are unable to reje...

We analyze how market design influences the bidding behavior in multiunit procurement auctions where suppliers have uncertain costs and are uncertain about the availability of production units, as in wholesale electricity markets. We find that the competitiveness of market outcomes improves with increased market transparency. We identify circumstances where the auctioneer prefers uniform to dis...

I present a fully-rational symmetric-information model of an IPO, and a dynamic imperfectly competitive model of trading in the IPO aftermarket. The model helps to explain IPO underpricing, underperformance, and why share allocations favor large institutional investors. In the model, underwriters need to sell a fixed number of shares at the IPO or in the aftermarket. To maximize revenue and avo...

We examine the causal effect of unionization on a firm’s takeover exposure and merger gains. To establish causality, we use a regression discontinuity design that relies on “locally” exogenous variation generated by elections that pass or fail by a small margin of votes. Barely passing a union election leads to a significant reduction in a firm’s probability of receiving takeover bids. Conditio...