Railways have played an important role for the Swedish economy throughout the 20th into the 21st century since it provides good connections between urban and rural regions and also within them. However, it has been very costly for the state to run this activity and a significant effort to reduce costs and to increase the efficiency for this sector was to introduce procurement auctions where also private firms are invited to lay bids. Four auctions have taken place in Jönköpings Län since its introduction in 1990. It has been a turbulent time economically for the winning bidders and the phenomena winner’s curse is evident where the bidder with highest over-estimate wins and therefore faces high costs or low returns. This study points at flaws in the auction design as the reason for the economical difficulties for the winning firms. If second-price sealed bid auctions or first-price sealed bid auctions were used instead of a combination of first-price sealed auction and English auction, the winner’s curse phenomena could be reduced or even eliminated.

<p>Railways have played an important role for the Swedish economy throughout the 20th into the 21st century since it provides good connections between urban and rural regions and also within them. However, it has been very costly for the state to run this activity and a significant effort to reduce costs and to increase the efficiency for this sector was to introduce procurement auctions where also private firms are invited to lay bids.</p><p>Four auctions have taken place in Jönköpings Län since its introduction in 1990. It has been a turbulent time economically for the winning bidders and the phenomena winner’s curse is evident where the bidder with highest over-estimate wins and therefore faces high costs or low returns.</p><p>This study points at flaws in the auction design as the reason for the economical difficulties for the winning firms. If second-price sealed bid auctions or first-price sealed bid auctions were used instead of a combination of first-price sealed auction and English auction, the winner’s curse phenomena could be reduced or even eliminated.</p>

This dissertation consists of two essays on the topic of bidding in multi-unit common value auction. Essay one examines the role of capacity constraint on the auction results and bidding behavior. We consider a general case where bidders are unconstrained, and a second setting where bidders are capacity constrained. We document downward sloping demand curves for individual bidders. Bidders shade their bids by submitting quantity-price pairs and spreading their bids. The winner's curse is strong in the unconstrained treatment, but we find no evidence of the winner's curse when bidding constraints are imposed. Unconstrained bidders shade bids significantly more and their quantity-weighted prices are much lower than those in the constrained treatment. Interacting with the information structure, the capacity constraint has a significant impact on the auction results including the market clearing price, market efficiency, and the degree of market concentration. We provide evidence that efficient price discovery in multi-unit auctions with diverse information is possible, but careful attention to auction design will make this outcome more likely. Essay two examines how the introduction of a noncompetitive bidding option affects outcomes in a multi-unit uniform-price auction. The experimental design incorporates many of the characteristics of the markets that pertain to the issuance of new equity securities. Important features of the bidding environment include endogenous bidder entry, costly information acquisition, bidders that differ by capacity constraint, and substantial uncertainty with respect to the intrinsic value. We use a standard uniform-price auction as our baseline setting where only competitive bids are accepted. Our results show that introducing the noncompetitive bidding option improves auction performance by increasing revenue and reducing price error. Underpricing is found in both treatments, but is less severe in the presence of the noncompetitive bidding option. The incorporation of this option significantly increases both the small bidder participation rate and allocation, and reduces the incentive for small bidders to free ride by submitting extremely high bids. Under both treatments, information acquisition increases large bidders' profits but proves unprofitable for small bidders, and pricing accuracy is increasing in the rate of information acquisition.

Problem: A widely accepted perception within the research community is that initial public offerings tend to be underpriced on a global level. Numerous studies have been conducted across global markets to identify the underlying factors. However, the findings have been heterogeneous and contradictory. Within the context of underpricing, the Nordic market, including Sweden, is relatively underexplored compared to the extensively researched American market. This research study aims to investigate several crucial variables, based on previous international research, and their relationship to this phenomenon within an area that remains insufficiently explored. Purpose: The goal of this study is to contribute to the existing IPO literature, by examining the factors that have statistically significant associations with underpricing in IPOs on the Swedish market. Method: The study has utilized empirical quantitative methodology with a deductive approach, and has relied on secondary data. It has examined short-term returns, specifically the returns generated on the first day of trading. Hypotheses regarding the study's five independent variables have been deduced from existing international empirical evidence. These variables are (1) industry affiliation, (2) company size (measured by revenue), (3) company age, (4) debt ratio, and (5) stock exchange regulations (measured through markets). By using multiple regression analysis, it has been possible to determine whether any of these variables have a statistically significant association with underpricing in IPOs. Results/Conclusion: The study reported non-statistically significant findings, which contradict the majority of previous scientific research. However, without regard to the regression analysis, weak support remained for certain independent variables showing vague associations with the studied phenomenon. / Problem: En vedertagen uppfattning inom forskarvärlden är att börsintroduktioner har en generell tendens att vara underprissatta på en global nivå. Många undersökningar har genomförts på världens marknader i syfte att identifiera de underliggande faktorerna. Resultaten har emellertid varit heterogena och motsägelsefulla. Inom ramen för underprissättning är den nordiska marknaden, med Sverige som en del av den, jämförelsevis outforskad i förhållande till den amerikanska som varit föremål för betydligt mer omfattande forskning. Forskningsstudien ämnar undersöka ett antal avgörande variabler, baserade på tidigare internationell forskning, och dess koppling till fenomenet inom ett område som ännu inte är tillräckligt utforskat. Syfte: Föreliggande studie har som mål att bidra till den befintliga börsintroduktionslitteraturen, genom att utreda vilka faktorer som har statistiskt signifikanta samband med underprissättning vid börsintroduktioner på den svenska marknaden. Metod: Studien har använt empirisk kvantitativ metodik med deduktiv ansats, och har utgått från sekundärdata. Studien har undersökt den kortsiktiga avkastningen, mer specifikt; den avkastning som skapats under första handelsdagen. Hypoteser om studiens fem oberoende variabler har deducerats från befintliga internationella empiriska underlag. Dessa är; (1) branschtillhörighet, (2) företagsstorlek (mätt som omsättning), (3) företagsålder, (4) skuldsättningsgrad och (5) börshandelsregler (mätt genom marknader). Med hjälp av en multipel regressionsanalys, har det varit möjligt att utreda om någon av dessa variabler uppvisat ett statistiskt signifikant samband med underprissättningen. Resultat/Slutsats: Studien rapporterade icke-statistiskt signifikanta fynd vilket motsäger merparten av tidigare vetenskaplig forskning. Emellertid, utan hänsyn till regressionsanalysen, återstod svaga stöd för att vissa oberoende variabler kunnat visa vaga samband med det studerade fenomenet.

Previous studies have underscored the economic importance of the role of the entrepreneur, and empirical studies testing the nature of the entrepreneur are notably lacking. This study directly addresses this issue by examining newly gathered field data which captures the decision making and risk behaviors for a group of high-technology entrepreneurs. Two decision making tasks were used to elicit risk aversion measures and to test for any 'joy of winning' or judgmental errors, possibly in the form of over optimistic behavior. These elicitations were made with the use of multiple price formats and winner's curse experiments. 62 responses were collected from subjects at the 2004 national Small Business Innovation Research (SBIR) conference in Atlanta, March 2004. From these 62 responses a subject pool of 33 entrepreneurs and 29 non-entrepreneurs were identified. Statistical methods were employed to assign risk aversion measures and identify any 'joy of winning' or judgmental errors for the entrepreneur (treatment) group compared with the non-entrepreneur (control) group. Findings show that entrepreneurs exhibit less risk aversion, but show no statistically meaningful difference in judgmental errors compared to their non-entrepreneur counterparts. However, there is evidence to support the claim that both entrepreneurs and non-entrepreneurs exhibit a 'joy of winning', and that the size of the effect is larger for entrepreneurs.

One of the puzzles regarding IPO’s is that the issuers rarely get upset about leaving substantial amounts of money on the table due to underpricing. The cost of underpricing is the number of shares sold multiplied by the difference between the first-day closing price and the offer price. The research sample of IPOs and JSE databases comprised, respectively, 160 and 321 new applicants for the years 1995-1999. New applicants comprising the research sample raised R12.55 billion with an underpricing cost exceeding R2.85 billion i.e., 22.71 percent of the IPO capital raised. This cost was found to be nearly 10 times greater than the R295 million paid in fees to the corporate advisors by the issuing companies. The prime beneficiaries of this discount were a select grouping of private placement investors at the discretion of the corporate advisors and directors. Mean unadjusted initial first day returns amounted to 55.04 percent. Public Offer IPO’s (solely or as a component of a Hybrid Offer) follow UK influenced corporate legal systems– both in legislative norm and empirical results. First day initial returns were presented per issuer List Board, Method and Type of Listing, IPO capital raised and disclosed use of proceeds. Internationally many theories have been raised as to what has become to be known as the short-run underpricing puzzle. The winner’s curse hypothesis is directly tested flowing from and the unique data availability. It was shown that South African Public and Hybrid IPO Offer methods bear an exceptionally close correlation to UK influenced corporate legal systems and as such proved a reliable empirical testing ground for the winners curse phenomena using the same methodology and equations as their international counterparts hereunder. The UK based corporate law and institutional arrangements in South Africa allow a direct test of the empirical implications of the winner’s curse hypothesis in pricing unseasoned new issues.

In this study, we explore models for optimal bidding in auctions on the bond market using data gathered from the Bloomberg Fixed Income Trading platform and MIFID II reporting. We define models that aim to fulfill two purposes. The first is to hit the best competitor price, such that a dealer can win the trade with the lowest possible margin. This model should also take into account the phenomenon of the Winner's Curse, which states that the winner of a common value auction tends to be the bidder who overestimated the value. We want to avoid this since setting a too aggressive bid could be unprofitable even when the dealer wins. The second aim is to define a model that estimates a quote that allows the dealer to win a certain target ratio of trades. We define three novel models for these purposes that are based on the best competitor prices for each trade, modeled by a Skew Exponential Power distribution. Further, we define a proxy for the Winner's Curse, represented by the distance of the estimated price from a reference price for the trade calculated by Bloomberg which is available when the request for quote (RFQ) arrives. Relevant covariates for the trades are also included in the models to increase the specificity for each trade. The novel models are compared to a linear regression and a random forest regression method using the same covariates. When trying to hit the best competitor price, the regression models have approximately equal performance to the expected price method defined in the study. However, when incorporating the Winner's Curse proxy, our Winner's Curse adjusted models are able to reduce the effect of the Winner's Curse as we define it, which the regression methods cannot. The results of the models for hitting a target ratio show that the actual hit ratio falls within an interval of 5% of the desired target ratio when running the model on the test data. The inclusion of covariates in the models does not impact the results as much as expected, but still provide improvements with respect to some measures. In summary, the novel methods show promise as a first step towards building algorithmic trading for bonds, but more research is needed and should incorporate more of the growing data set of RFQs and MIFID II recorded transaction prices. / I denna studie utforskar vi modeller för optimal budgivning för auktioner på obligationsmarknaden med hjälp av data som samlats in från plattformen Bloomberg Fixed Income Trading och MIFID II-rapportering. Vi definierar modeller som ämnar att uppfylla två syften. Det första är att träffa det bästa konkurrentpriset så att en handlare kan vinna auktionen med minsta möjliga marginal. Denna modell bör också ta hänsyn till fenomenet Winner's Curse, som innebär att vinnaren av en så kallad common value auction tenderar att vara den budgivare som överskattat värdet. Vi vill undvika detta eftersom det kan vara olönsamt att skicka ett alltför aggressivt bud även om handlaren vinner. Det andra syftet är att definiera en modell som uppskattar ett pris som gör det möjligt för handlaren att vinna en viss andel av sina obligationsaffärer. Vi definierar tre nya modeller för dessa ändamål som bygger på de bästa konkurrentpriserna för varje transaktion vi har data på. Dessa modelleras av en Skew Exponential Power-fördelning. Vidare definierar vi en variabel som indirekt mäter fenomenet Winner's Curse, representerad av budprisets avstånd från ett referenspris för transaktionen beräknad av Bloomberg som är tillgänglig när en request for quote (RFQ) anländer. Relevanta kovariat för transaktionen implementeras också i modellerna för att öka specificiteten för varje transaktion. De nya modellerna jämförs med en linjärregression och en random forest-regression som använder samma kovariat. När målet är att träffa det bästa konkurrentpriset ger regressionsmodellerna ungefär samma resultat som expected price-modellen som definieras i denna studie. När man däremot integrerar effekten av Winner's Curse med den definierade indirekta variablen kan vår Winner's Curse-justerade modell minska effekten av Winner's Curse, vilket regressionsmetoderna inte kan. Resultaten av modellerna som ämnar vinna en förbestämd andel av transaktionerna visar att den faktiska andelen transaktioner som man vinner faller inom ett intervall på 5% kring den önskade andelen när modellen körs på testdata. Att inkludera kovariat i modellerna påverkar inte resultaten till den grad som uppskattades, men ger mindre förbättringar med avseende på vissa mättal. Sammanfattningsvis visar de nya metoderna potential som ett första steg mot att bygga algoritmisk handel för obligationer, men mer forskning behövs och bör utnyttja mer av den växande datamängden av RFQs och MIFID II-rapporterade transaktionspriser.

The objective of this thesis is to study the sources of discrepancy between the actual traffic in motorways under concession schemes and the traffic forecast ex-ante. The demand forecast for a specific project is the main variable influencing its realization. From a public sector perspective, socio-economic evaluations are driven by demand forecasts, which gives the basis for choose and hierarchy public projects in order to maximise social welfare. From a private sector perspective, traffic forecasts are the base of financial evaluation and toll setting.Despite its importance and the numerous and important developments in the field, the differences of forecast and ex-post traffic are usually very high. Some recent studies show that differences as big as 20% are much more the rule than the exception.A huge amount of uncertainty is associated with the forecasting exercise. First because transport is a derived demand and depends on many exogenous variables, also uncertain; because modelling is and simplification exercise, implies many assumptions and rely on field data, many times incomplete or of low quality; moreover, modelling human (in this case users) behaviour is always a dangerous enterprise.Although these arguments could explain at least the larger part of errors associated with forecasts, one can wonder whether the agents implicated in the forecast would or could use this uncertainty strategically in their favour. In a competition for the field scheme (bids), the bidder may overestimate the demand in order to reduce the toll included in the bid. This strategic behaviour can introduce a high bias in forecasts. Also, overoptimistic (or overpessimistic) forecasters may introduce a bias in the forecast.We propose to focus in turn on the three main groups of agents involved in the demand forecast process. The forecasters, the project promoters and the users. Study all the issues related to them would be a too ambitious (or more concretely impossible) task. We then focus on some particular issues related to the modelling of the actors' behaviour in the context of the demand forecast for toll roads.Regarding the forecaster behaviour, we present the results of the first large sample survey on forecasters' perceptions and opinions about forecasting demand for transport projects, based on an on-line survey. We first describe the main characteristics of forecasters. We then describe the last forecast forecasters prepared. We turn to the models forecasters apply, the errors they declare on past forecasts and the main sources of errors according to them. We then describe the forecast environment in terms of pressure forecasters receive. These unique results provide a picture of the world of forecasters and forecasts, allowing for a better understanding of them. We turn then to the study of the optimism and overconfidence in transport forecasts. Optimism and overconfidence in general are recognized human traits. We analyze the overoptimistic bias by comparing the distribution of stated errors with actual errors found in literature; we also compare the own skilful of subjects in doing forecasts with studies showing self-evaluations of a common skill - driving. We finally propose a regression of the competence, quality and errors on the main forecasters' and projects' specific variables.Results show that the distribution of errors transport forecasters state has a smaller average magnitude and a smaller variance than those found in literature. Comparing forecasters perception of their own competence with the results found in literature about drivers skill self-evaluation, however, we could not find a significant difference, meaning that the forecasters' overconfidence is in line with what could be viewed as a normal human overconfidence level.The pressure for results forecasters receive and the strategic manipulation they affirm exist merit a special attention. They imply that while forecasters' behavioural biases may exist and should be take in account when evaluation forecasts, the project promoter may influence forecasts by pressuring the forecasters to produce results which better fit his expectancies.We then study the bidders' strategic behaviour in auctions for road concessions. We address three questions in turn. First, we investigate the overall effects of the winner's curse on bidding behaviour in such auctions. Second, we examine the effects of the winner's curse on contract auctions with differing levels of common-value components. Third, we investigate how the winner's curse affects bidding behaviour in such auctions when we account for the possibility for bidders to renegotiate. Using a unique, self-constructed, dataset of 49 worldwide road concessions, we show that the winner's curse effect is particularly strong in toll road concession contract auctions. Thus, we show that bidders bid less aggressively in toll road concession auctions when they expect more competition. We observe that this winner's curse effect is even larger for projects where the common uncertainty is greater. Moreover, we show that the winner's curse effect is weaker when the likelihood of renegotiation is higher. While the traditional implication would be that more competition is not always desirable when the winner's curse is particularly strong, we show that, in toll road concession contract auctions, more competition may be always desirable. Modelling aggregated users' behaviour, we study the long term traffic maturity. We argue that traffic maturity results from decreasing marginal utility of transport. The elasticity of individual mobility with respect to the revenue decreases after a certain level of mobility is reached. In order to find evidences of decreasing elasticity we analyse a cross-section time-series sample including 40 French motorways' sections. This analysis shows that decreasing elasticity can be observed in the long term. We then propose a decreasing function for the traffic elasticity with respect to the economic growth, which depends on the traffic level on the road. Although “unconditional” decreasing elasticities were already proposed in the literature, this is the first work, as far as we know, putting this idea in evidence and giving it a functional form. This model provides better interpretation of the coupling between traffic and economic growth, and a better long-term forecast. From the disaggregate perspective, we study the main individual modal choice variable, the value of time. The value of travel time savings is a fundamental concept in transport economics and its size strongly affects the socio-economic evaluation of transport schemes. Financial assessment of tolled roads rely upon the value of time as the main (or even the unique) willingness to pay measure. Values of time estimates, which primarily represent behavioural values, as then increasingly been used as measures of out-of-pocket money. In this setting, one of the main issues regarding the value of time is its distribution over the population. We apply the Logit, the Mixed Logit and the Bayesian Mixed Logit models to estimate the value of time in freight transport in France. Estimations with mixed logit faced many difficulties, as expected. These difficulties could be avoided using the Bayesian procedures, providing also the opportunity of properly integrating a priori beliefs. Results show that 1) using a single constant value of time, representative of an average, can lead to demand overestimation, 2) the estimated average value of time of freight transport in France is about 45 Euro, depending on the load/empty and hire/own account variables, which implies that 3) the standard value recommended in France should be reviewed upwards.