Arieh Gavious | Ben Gurion University (original) (raw)
Papers by Arieh Gavious
Social Science Research Network, 2014
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Risk Analysis
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Journal of Accounting, Auditing & Finance, 2019
This study analyzes the impact of the Sarbanes-Oxley Act’s (SOX) ban on providing both auditing a... more This study analyzes the impact of the Sarbanes-Oxley Act’s (SOX) ban on providing both auditing and nonaudit services by auditors to their clients. We use a first-price private value auction to compare a setting in which auditors can compete for both audit and nonaudit services with an auction in which they can compete for only one of the two services. Consistent with empirical studies, we show that the ban on nonaudit services results in fee hikes for both audit and nonaudit services, as the number of bidders (audit firms) is smaller in the post-SOX setting relative to pre-SOX setting in both auctions. Consequently, we demonstrate that, after the ban, payoffs have increased for audit firms and decreased for their clients, due to the increase in both audit and nonaudit services fees. Finally, we show that increasing the penalty for an audit failure, contrary to common wisdom, results in improved payoffs for audit firms.
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Optimization Letters, 2018
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Dynamic Games and Applications, 2016
We consider a repeated sales situation in which a seller sells one unit of a good each period to ... more We consider a repeated sales situation in which a seller sells one unit of a good each period to the same buyer. Having incomplete information about the buyer’s valuation, the seller responds to the buyer’s behavior, meaning, whether she bought previous units and at what price. We characterize the equilibrium of the no-commitment game for a uniform distribution and show that the seller discriminates between buyers based on their purchase history. Moreover, we show that the buyer’s ex-ante expected payoff is higher in the no-commitment game than in a game in which the seller can commit in advance to the prices he will charge (the commitment game). We also demonstrate that the buyer’s ex-post payoff is higher for each type of buyer in the no-commitment game. Social welfare is also higher in the no-commitment game. As the number of periods (units) increases, the opening prices decline, but fewer types of buyers accept the opening price.
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SSRN Electronic Journal, 2014
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We study independent private-value all-pay auctions with risk-averse players. We show that: (1) P... more We study independent private-value all-pay auctions with risk-averse players. We show that: (1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. (2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. (3) Players ’ expected utilities in an all-pay auction are lower than in a first-price auction. We also use perturbation analysis to calculate explicit approximations of the equilibrium strategies of risk-averse players and the seller’s expected revenue. In particular, we show that in all-pay auctions the seller’s expected payoff in the risk-averse case may be either higher or lower than in the risk neutral case.
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We study private-value auctions with n risk-averse bidders, where n is a large number. We first u... more We study private-value auctions with n risk-averse bidders, where n is a large number. We first use asymptotic techniques to calculate explicit approximations of the equilibrium bids and of the seller’s revenue in any k-price auction (k = 1, 2, . . . ), and use these explicit approximations to show that all large k-price auctions with risk-averse bidders are O(1/n) revenue equivalent. We then prove that there exist auction mechanisms for which the limiting revenue as n −→ ∞ in the case of risk-averse bidders is strictly below the risk-neutral limit. Therefore, these auction mechanisms are not revenue equivalent to large k-price auctions even in the limit as n −→ ∞. Finally, we formulate a general condition under which the limiting revenue with risk-averse bidders is equal to the risk-neutral limit. School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, Israel, fibich@tau.ac.il Department of Industrial Engineering and Management, Faculty of Engineering Sciences, Ben-Gu...
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This paper develops closed-form expressions for the path and speed of stock price discovery in a ... more This paper develops closed-form expressions for the path and speed of stock price discovery in a simple asset allocation model. The r epresentative investor is composed of two uniquely defined investors whose different r isk-preferences always generate opposite portfolio rebalancing trades. The implied supply and demand schedules for shares determine the intra-period path and speed of price discovery in a tâtonnement setup. Convergence to equilibrium is exponential, a nd its speed depends on information content, risk-preferences, firm size, t he market price for risk, and the price impact of excess demand. Convergence is not guarant eed, and the conditions for divergence are specified. JEL: G12
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SSRN Electronic Journal, 2019
Developing effective screening processes in border crossings, in order to identify violators with... more Developing effective screening processes in border crossings, in order to identify violators within large groups of mostly innocent people, is an important and difficult task, as it is not possible nor effective to screen every passenger with the same intensity required to detect a violator. Profiling has been applied for several decades as a tool to deal with this task, but there is still no proof of its usefulness. Our main motivation is to study whether profiling is indeed helpful, and if so, how it should be used so as to maximize its effectiveness. We consider an interaction that takes place in some crowded border crossing, where passengers can be affiliated into different groups. We offer a sequential game-model with three players: a defender, who acts first and decides on a screening process, an attacker, who acts second and may recruit a passenger as a violator, and the recruited passenger, who acts last and may choose not to violate, as it has its own private violating motivation. We study variants of the base game, which differ by the choice of screening policy (an announced profiling, an unannounced profiling, no-profiling), the attacker's knowledge of the screening policy, and the costs of recruiting passengers of different groups. These variants help us to answer the extremely challenging social and strategic questions regarding the controversy over the need of profiling.
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SSRN Electronic Journal, 2016
The paper analyzes the revenue of auctions with asymmetric bidders with a large, but finite numbe... more The paper analyzes the revenue of auctions with asymmetric bidders with a large, but finite number of players. We explicitly calculate the seller’s expected revenue in large asymmetric first-price, second-price, and optimal auctions to O(1/<i>n</i> <sup>3</sup>) accuracy, where <i>n</i> is the number of players. These calculations show that the revenue differences among these three auction mechanisms scale as ∈<sup>2</sup>/<i>n</i> <sup>3</sup>, where ε is the level of asymmetry (heterogeneity) among the distributions of bidders’ valuations. This novel scaling law shows that bidders’ asymmetry already has a negligible effect on revenue ranking of auctions with several (e.g., <i>n</i> = 6) bidders. In contrast, previous results studied only the limiting case <i>n</i> → ∞. We also show that bidders’ asymmetry always reduces the expected revenue in large auctions, but not necessarily in small ones. Finally, we extend the asymptotic O(∈<sup>2</sup>/<i>n</i> <sup>3</sup>) revenue equivalence to a broader class of asymmetric auctions.
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Management Science Journal of the Institute For Operations Research and the Management Sciences, 2013
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We study first-price auctions with n bidders where bidders' types (valuations for the object)... more We study first-price auctions with n bidders where bidders' types (valuations for the object) are drawn independently according to heterogeneous distribution functions. We show a relation between the distributions of high types and their equilibrium bids. On the other hand, we show that there is no relation between the distributions of types and equilibrium bids of low types, i.e. the equilibrium bids of low types are invariable.
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Management Science, 2013
In the majority of developed countries, the level of influenza vaccination coverage in all age gr... more In the majority of developed countries, the level of influenza vaccination coverage in all age groups is suboptimal. Hence, the authorities offer different kinds of incentives for people to become vaccinated such as subsidizing immunization or placing immunization centers in malls to make the process more accessible. We built a theoretical epidemiological game model to find the optimal incentive for vaccination and the corresponding expected level of vaccination coverage. The model was supported by survey data from questionnaires about people's perceptions about influenza and the vaccination against it. Results suggest that the optimal magnitude of the incentives should be greater when less contagious seasonal strains of influenza are involved and greater for the nonelderly population rather than the elderly, and should rise as high as $57 per vaccinated individual so that all children between the ages of six months and four years will be vaccinated. This paper was accepted by Y...
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European Journal of Operational Research, 2012
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SSRN Electronic Journal, 2011
In the majority of developed countries, the level of influenza vaccination coverage in all age gr... more In the majority of developed countries, the level of influenza vaccination coverage in all age groups is sub-optimal. Hence, the authorities offer different kinds of incentives for people to become inoculated such as subsidizing immunization or placing immunization centers in malls to make the process more accessible. We built a theoretical epidemiological game model to find the optimal incentive for inoculation and the corresponding expected level of vaccination coverage. The model was supported by survey data from questionnaires about people's perceptions about influenza and the vaccination against it. Results suggest that the optimal magnitude of the incentives should be greater when less contagious seasonal strains of influenza are involved, greater for the non-elderly population rather than the elderly, and should rise as high as $60 per inoculated individual so that all children between the ages of six months and four years will be inoculated.
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Supplemental material, Appendix for Analysis of the Sarbanes-Oxley Ban on Non-Audit Services From... more Supplemental material, Appendix for Analysis of the Sarbanes-Oxley Ban on Non-Audit Services From an Auction Model Perspective by Ramy Elitzur, Arieh Gavious and Yizhaq Minchuk in Journal of Accounting, Auditing & Finance
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This paper examines contracting between a venture capitalist and an entrepreneur in a setting wit... more This paper examines contracting between a venture capitalist and an entrepreneur in a setting with unobservable effort when contracts are renegotiated each period. The contribution of our paper lies in the insights it provides on optimal contracts in this setting. The insights from our model prove to be significantly different in certain respects than those obtained under a multi-period contract without renegotiation or a single period setting. An example is worked out to illustrate the division of payoff between the venture capitalist and the entrepreneur each period.
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Operations Research Letters, 2014
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Social Science Research Network, 2014
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Risk Analysis
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Journal of Accounting, Auditing & Finance, 2019
This study analyzes the impact of the Sarbanes-Oxley Act’s (SOX) ban on providing both auditing a... more This study analyzes the impact of the Sarbanes-Oxley Act’s (SOX) ban on providing both auditing and nonaudit services by auditors to their clients. We use a first-price private value auction to compare a setting in which auditors can compete for both audit and nonaudit services with an auction in which they can compete for only one of the two services. Consistent with empirical studies, we show that the ban on nonaudit services results in fee hikes for both audit and nonaudit services, as the number of bidders (audit firms) is smaller in the post-SOX setting relative to pre-SOX setting in both auctions. Consequently, we demonstrate that, after the ban, payoffs have increased for audit firms and decreased for their clients, due to the increase in both audit and nonaudit services fees. Finally, we show that increasing the penalty for an audit failure, contrary to common wisdom, results in improved payoffs for audit firms.
Bookmarks Related papers MentionsView impact
Optimization Letters, 2018
Bookmarks Related papers MentionsView impact
Dynamic Games and Applications, 2016
We consider a repeated sales situation in which a seller sells one unit of a good each period to ... more We consider a repeated sales situation in which a seller sells one unit of a good each period to the same buyer. Having incomplete information about the buyer’s valuation, the seller responds to the buyer’s behavior, meaning, whether she bought previous units and at what price. We characterize the equilibrium of the no-commitment game for a uniform distribution and show that the seller discriminates between buyers based on their purchase history. Moreover, we show that the buyer’s ex-ante expected payoff is higher in the no-commitment game than in a game in which the seller can commit in advance to the prices he will charge (the commitment game). We also demonstrate that the buyer’s ex-post payoff is higher for each type of buyer in the no-commitment game. Social welfare is also higher in the no-commitment game. As the number of periods (units) increases, the opening prices decline, but fewer types of buyers accept the opening price.
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SSRN Electronic Journal, 2014
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We study independent private-value all-pay auctions with risk-averse players. We show that: (1) P... more We study independent private-value all-pay auctions with risk-averse players. We show that: (1) Players with low values bid lower and players with high values bid higher than they would bid in the risk neutral case. (2) Players with low values bid lower and players with high values bid higher than they would bid in a first-price auction. (3) Players ’ expected utilities in an all-pay auction are lower than in a first-price auction. We also use perturbation analysis to calculate explicit approximations of the equilibrium strategies of risk-averse players and the seller’s expected revenue. In particular, we show that in all-pay auctions the seller’s expected payoff in the risk-averse case may be either higher or lower than in the risk neutral case.
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We study private-value auctions with n risk-averse bidders, where n is a large number. We first u... more We study private-value auctions with n risk-averse bidders, where n is a large number. We first use asymptotic techniques to calculate explicit approximations of the equilibrium bids and of the seller’s revenue in any k-price auction (k = 1, 2, . . . ), and use these explicit approximations to show that all large k-price auctions with risk-averse bidders are O(1/n) revenue equivalent. We then prove that there exist auction mechanisms for which the limiting revenue as n −→ ∞ in the case of risk-averse bidders is strictly below the risk-neutral limit. Therefore, these auction mechanisms are not revenue equivalent to large k-price auctions even in the limit as n −→ ∞. Finally, we formulate a general condition under which the limiting revenue with risk-averse bidders is equal to the risk-neutral limit. School of Mathematical Sciences, Tel Aviv University, Tel Aviv 69978, Israel, fibich@tau.ac.il Department of Industrial Engineering and Management, Faculty of Engineering Sciences, Ben-Gu...
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This paper develops closed-form expressions for the path and speed of stock price discovery in a ... more This paper develops closed-form expressions for the path and speed of stock price discovery in a simple asset allocation model. The r epresentative investor is composed of two uniquely defined investors whose different r isk-preferences always generate opposite portfolio rebalancing trades. The implied supply and demand schedules for shares determine the intra-period path and speed of price discovery in a tâtonnement setup. Convergence to equilibrium is exponential, a nd its speed depends on information content, risk-preferences, firm size, t he market price for risk, and the price impact of excess demand. Convergence is not guarant eed, and the conditions for divergence are specified. JEL: G12
Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2019
Developing effective screening processes in border crossings, in order to identify violators with... more Developing effective screening processes in border crossings, in order to identify violators within large groups of mostly innocent people, is an important and difficult task, as it is not possible nor effective to screen every passenger with the same intensity required to detect a violator. Profiling has been applied for several decades as a tool to deal with this task, but there is still no proof of its usefulness. Our main motivation is to study whether profiling is indeed helpful, and if so, how it should be used so as to maximize its effectiveness. We consider an interaction that takes place in some crowded border crossing, where passengers can be affiliated into different groups. We offer a sequential game-model with three players: a defender, who acts first and decides on a screening process, an attacker, who acts second and may recruit a passenger as a violator, and the recruited passenger, who acts last and may choose not to violate, as it has its own private violating motivation. We study variants of the base game, which differ by the choice of screening policy (an announced profiling, an unannounced profiling, no-profiling), the attacker's knowledge of the screening policy, and the costs of recruiting passengers of different groups. These variants help us to answer the extremely challenging social and strategic questions regarding the controversy over the need of profiling.
Bookmarks Related papers MentionsView impact
SSRN Electronic Journal, 2016
The paper analyzes the revenue of auctions with asymmetric bidders with a large, but finite numbe... more The paper analyzes the revenue of auctions with asymmetric bidders with a large, but finite number of players. We explicitly calculate the seller’s expected revenue in large asymmetric first-price, second-price, and optimal auctions to O(1/<i>n</i> <sup>3</sup>) accuracy, where <i>n</i> is the number of players. These calculations show that the revenue differences among these three auction mechanisms scale as ∈<sup>2</sup>/<i>n</i> <sup>3</sup>, where ε is the level of asymmetry (heterogeneity) among the distributions of bidders’ valuations. This novel scaling law shows that bidders’ asymmetry already has a negligible effect on revenue ranking of auctions with several (e.g., <i>n</i> = 6) bidders. In contrast, previous results studied only the limiting case <i>n</i> → ∞. We also show that bidders’ asymmetry always reduces the expected revenue in large auctions, but not necessarily in small ones. Finally, we extend the asymptotic O(∈<sup>2</sup>/<i>n</i> <sup>3</sup>) revenue equivalence to a broader class of asymmetric auctions.
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Management Science Journal of the Institute For Operations Research and the Management Sciences, 2013
Bookmarks Related papers MentionsView impact
Bookmarks Related papers MentionsView impact
We study first-price auctions with n bidders where bidders' types (valuations for the object)... more We study first-price auctions with n bidders where bidders' types (valuations for the object) are drawn independently according to heterogeneous distribution functions. We show a relation between the distributions of high types and their equilibrium bids. On the other hand, we show that there is no relation between the distributions of types and equilibrium bids of low types, i.e. the equilibrium bids of low types are invariable.
Bookmarks Related papers MentionsView impact
Management Science, 2013
In the majority of developed countries, the level of influenza vaccination coverage in all age gr... more In the majority of developed countries, the level of influenza vaccination coverage in all age groups is suboptimal. Hence, the authorities offer different kinds of incentives for people to become vaccinated such as subsidizing immunization or placing immunization centers in malls to make the process more accessible. We built a theoretical epidemiological game model to find the optimal incentive for vaccination and the corresponding expected level of vaccination coverage. The model was supported by survey data from questionnaires about people's perceptions about influenza and the vaccination against it. Results suggest that the optimal magnitude of the incentives should be greater when less contagious seasonal strains of influenza are involved and greater for the nonelderly population rather than the elderly, and should rise as high as $57 per vaccinated individual so that all children between the ages of six months and four years will be vaccinated. This paper was accepted by Y...
Bookmarks Related papers MentionsView impact
European Journal of Operational Research, 2012
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SSRN Electronic Journal, 2011
In the majority of developed countries, the level of influenza vaccination coverage in all age gr... more In the majority of developed countries, the level of influenza vaccination coverage in all age groups is sub-optimal. Hence, the authorities offer different kinds of incentives for people to become inoculated such as subsidizing immunization or placing immunization centers in malls to make the process more accessible. We built a theoretical epidemiological game model to find the optimal incentive for inoculation and the corresponding expected level of vaccination coverage. The model was supported by survey data from questionnaires about people's perceptions about influenza and the vaccination against it. Results suggest that the optimal magnitude of the incentives should be greater when less contagious seasonal strains of influenza are involved, greater for the non-elderly population rather than the elderly, and should rise as high as $60 per inoculated individual so that all children between the ages of six months and four years will be inoculated.
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Supplemental material, Appendix for Analysis of the Sarbanes-Oxley Ban on Non-Audit Services From... more Supplemental material, Appendix for Analysis of the Sarbanes-Oxley Ban on Non-Audit Services From an Auction Model Perspective by Ramy Elitzur, Arieh Gavious and Yizhaq Minchuk in Journal of Accounting, Auditing & Finance
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This paper examines contracting between a venture capitalist and an entrepreneur in a setting wit... more This paper examines contracting between a venture capitalist and an entrepreneur in a setting with unobservable effort when contracts are renegotiated each period. The contribution of our paper lies in the insights it provides on optimal contracts in this setting. The insights from our model prove to be significantly different in certain respects than those obtained under a multi-period contract without renegotiation or a single period setting. An example is worked out to illustrate the division of payoff between the venture capitalist and the entrepreneur each period.
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Operations Research Letters, 2014
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