Orly Sade - Academia.edu (original) (raw)

Papers by Orly Sade

Many financial assets, especially government bonds, are issued by an auction mechanism. An import... more Many financial assets, especially government bonds, are issued by an auction mechanism. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical papers do not provide a definite answer regarding the preference of one mechanism over the other. Experimental papers investigated the issue under an exogenous equal number of bidders. We investigate the bidders choice and the impact of that choice on the outcome of the auction by letting them choose between the two alternative systems. The majority of the bidders in the survey have chosen the uniform method. Those that prefer the uniform auction bid, on average, more aggressively than those that choose the discriminatory one. On average the revenues to the issuer were higher under the uniform price mechanism.

SSRN Electronic Journal, 2000

SSRN Electronic Journal, 2000

There are two phenomena in behavioral finance and economics which are seemingly unrelated and hav... more There are two phenomena in behavioral finance and economics which are seemingly unrelated and have been studied separately; overconfidence and ambiguity aversion. In this paper we are trying to link these two phenomena providing a theoretical foundation supported by evidence from an experimental study. We derive a model, based on the max-min ambiguity framework that links overconfidence to ambiguity aversion. In the experimental study we find that overconfidence is decreasing in ambiguity, as predicted by our model. JEL Classification: C65, D81, D83

SSRN Electronic Journal, 2000

ABSTRACT We show that asymmetry in bidders' capacity constraints plays an important role ... more ABSTRACT We show that asymmetry in bidders' capacity constraints plays an important role in inhibiting collusion and promoting competitive outcomes in multi-unit discriminatory and uniform-price auctions. This effect seems to be related to the increased difficulty of coordination when there are fundamental differences between bidders. Asymmetry in capacity constraints plays a more important role under the discriminatory price mechanism, and leads to a reversal of the revenue ranking in a study with an identical experimental design, but where bidders have symmetric capacity constraints (SSZ (2004)). These results suggest that the optimal auction format may depend on factors specific to a particular auction setting.

SSRN Electronic Journal, 2000

In 2005, a drastic reform in the Israeli capital market shifted the power to choose savings vehic... more In 2005, a drastic reform in the Israeli capital market shifted the power to choose savings vehicles from employers to individuals. Using a unique dataset from a large employer, this event provides us a rare window into individuals' savings decisions and the effect of their social environment. In the first year following the reform's implementation, 7% of the employees switched out of the fund in which they all previously saved. Choice of fund was not associated with observable measures of fund performance, but was strongly affected by the employees' social environment. Exploiting within-department variation in peer groups, we find that savings decisions were strongly influenced by the choices of coworkers from the same ethnic group. Interviews also point to the influence of nonprofessional colleagues.

Many financial assets, especially government bonds, are issued by an auction mechanism.An importa... more Many financial assets, especially government bonds, are issued by an auction mechanism.An important feature of the design is the auction pricing mechanism: Uniform vs.Discriminatory. Theoretical papers do not provide a definite answer regarding thepreference of one mechanism over the other. Experimental papers investigated the issueunder an exogenous equal number of bidders. We investigate the bidders choice and theimpact of that choice on the outcome of the auction by letting them choose between thetwo alternative systems. The majority of the bidders in the survey have chosen theuniform method. Those that prefer the uniform auction bid, on average, more aggressively than those that choose the discriminatory one. On average the revenues to the issuer were higher under the uniform price mechanism.

Review of Financial Studies, 2005

An experimental approach is used to examine the performance of three different multiunit auction ... more An experimental approach is used to examine the performance of three different multiunit auction designs: discriminatory, uniform-price with fixed supply, and uniform-price with endogenous supply. We find that the strategies of the individual bidders and the aggregate demand curves are inconsistent with theoretically identified equilibrium strategies. The discriminatory auction is found to be more susceptible to collusion than are the uniform-price auctions, and so contrary to theoretical predictions and previous experimental results, the discriminatory auction provides the lowest average revenue. Consistent with theoretical predictions, bidder demands are more elastic with reducible supply or discriminatory pricing than in the uniform-price auction with fixed supply. Despite a lack of a priori differences across bidders, the discriminatory auction results in significantly more symmetric allocations.

Journal of Monetary Economics, 2009

... Allen et al. (2006) find a link between the economic system and the financial system. ... A s... more ... Allen et al. (2006) find a link between the economic system and the financial system. ... A study by Sade et al. (2006) has shown that in the discriminatory mechanism, on average, the participants collude more and pay lower prices. ...

Economics Letters, 2004

Given the non-standardized use of the cancellation rule in the experimental markets literature, t... more Given the non-standardized use of the cancellation rule in the experimental markets literature, this paper investigates whether the ability to cancel orders in a double auction matters. We find that players use the option to cancel orders when it is available and that the option to cancel affects volume, but not price-associated variable. D

Many financial assets, especially government bonds, are issued by an auction mechanism. An import... more Many financial assets, especially government bonds, are issued by an auction mechanism. An important feature of the design is the auction pricing mechanism: Uniform vs. Discriminatory. Theoretical papers do not provide a definite answer regarding the preference of one mechanism over the other. Experimental papers investigated the issue under an exogenous equal number of bidders. We investigate the bidders choice and the impact of that choice on the outcome of the auction by letting them choose between the two alternative systems. The majority of the bidders in the survey have chosen the uniform method. Those that prefer the uniform auction bid, on average, more aggressively than those that choose the discriminatory one. On average the revenues to the issuer were higher under the uniform price mechanism.

SSRN Electronic Journal, 2000

SSRN Electronic Journal, 2000

There are two phenomena in behavioral finance and economics which are seemingly unrelated and hav... more There are two phenomena in behavioral finance and economics which are seemingly unrelated and have been studied separately; overconfidence and ambiguity aversion. In this paper we are trying to link these two phenomena providing a theoretical foundation supported by evidence from an experimental study. We derive a model, based on the max-min ambiguity framework that links overconfidence to ambiguity aversion. In the experimental study we find that overconfidence is decreasing in ambiguity, as predicted by our model. JEL Classification: C65, D81, D83

SSRN Electronic Journal, 2000

ABSTRACT We show that asymmetry in bidders' capacity constraints plays an important role ... more ABSTRACT We show that asymmetry in bidders' capacity constraints plays an important role in inhibiting collusion and promoting competitive outcomes in multi-unit discriminatory and uniform-price auctions. This effect seems to be related to the increased difficulty of coordination when there are fundamental differences between bidders. Asymmetry in capacity constraints plays a more important role under the discriminatory price mechanism, and leads to a reversal of the revenue ranking in a study with an identical experimental design, but where bidders have symmetric capacity constraints (SSZ (2004)). These results suggest that the optimal auction format may depend on factors specific to a particular auction setting.

SSRN Electronic Journal, 2000

In 2005, a drastic reform in the Israeli capital market shifted the power to choose savings vehic... more In 2005, a drastic reform in the Israeli capital market shifted the power to choose savings vehicles from employers to individuals. Using a unique dataset from a large employer, this event provides us a rare window into individuals' savings decisions and the effect of their social environment. In the first year following the reform's implementation, 7% of the employees switched out of the fund in which they all previously saved. Choice of fund was not associated with observable measures of fund performance, but was strongly affected by the employees' social environment. Exploiting within-department variation in peer groups, we find that savings decisions were strongly influenced by the choices of coworkers from the same ethnic group. Interviews also point to the influence of nonprofessional colleagues.

Many financial assets, especially government bonds, are issued by an auction mechanism.An importa... more Many financial assets, especially government bonds, are issued by an auction mechanism.An important feature of the design is the auction pricing mechanism: Uniform vs.Discriminatory. Theoretical papers do not provide a definite answer regarding thepreference of one mechanism over the other. Experimental papers investigated the issueunder an exogenous equal number of bidders. We investigate the bidders choice and theimpact of that choice on the outcome of the auction by letting them choose between thetwo alternative systems. The majority of the bidders in the survey have chosen theuniform method. Those that prefer the uniform auction bid, on average, more aggressively than those that choose the discriminatory one. On average the revenues to the issuer were higher under the uniform price mechanism.

Review of Financial Studies, 2005

An experimental approach is used to examine the performance of three different multiunit auction ... more An experimental approach is used to examine the performance of three different multiunit auction designs: discriminatory, uniform-price with fixed supply, and uniform-price with endogenous supply. We find that the strategies of the individual bidders and the aggregate demand curves are inconsistent with theoretically identified equilibrium strategies. The discriminatory auction is found to be more susceptible to collusion than are the uniform-price auctions, and so contrary to theoretical predictions and previous experimental results, the discriminatory auction provides the lowest average revenue. Consistent with theoretical predictions, bidder demands are more elastic with reducible supply or discriminatory pricing than in the uniform-price auction with fixed supply. Despite a lack of a priori differences across bidders, the discriminatory auction results in significantly more symmetric allocations.

Journal of Monetary Economics, 2009

... Allen et al. (2006) find a link between the economic system and the financial system. ... A s... more ... Allen et al. (2006) find a link between the economic system and the financial system. ... A study by Sade et al. (2006) has shown that in the discriminatory mechanism, on average, the participants collude more and pay lower prices. ...

Economics Letters, 2004

Given the non-standardized use of the cancellation rule in the experimental markets literature, t... more Given the non-standardized use of the cancellation rule in the experimental markets literature, this paper investigates whether the ability to cancel orders in a double auction matters. We find that players use the option to cancel orders when it is available and that the option to cancel affects volume, but not price-associated variable. D