风险厌恶投标人下证券竞价拍卖中的竞争性卖方

摘要

We study second-price security-bid auctions in which two risk-neutral sellers compete for risk-averse bidders. Each seller selects a family of securities—such as equity, debt, or call options—before bidders choose which auction to enter. Steeper families of securities extract more surplus from bidders ex post but may deter entry; they also provide greater insurance, prompting more aggressive bidding. When bidders have homogeneous risk aversion, no asymmetric pure-strategy equilibria exist. In contrast, when risk aversion is heterogeneous, an asymmetric equilibrium emerges: one seller chooses a steeper family to attract more risk-averse bidders, while the other chooses a flatter family to appeal to less risk-averse ones. These results show how variation in bidder preferences can lead to market segmentation and shape sellers’ strategic choices over security design in auctions.