Department of Economics
University of Wisconsin-Madison
1180 Observatory Drive
Madison, WI 53706
Institutional Affiliation: University of Wisconsin-Madison
NBER Working Papers and Publications
|July 2017||Identification in Ascending Auctions, with an Application to Digital Rights Management|
with : w23569
This study provides new identification and estimation results for ascending (traditional English or online) auctions with unobserved auction-level heterogeneity and an unknown number of bidders. When the seller's reserve price and two order statistics of bids are observed, we derive conditions under which the distributions of buyer valuations, unobserved heterogeneity, and number of participants are point identified. We also derive conditions for point identification in cases where reserve prices are binding (in which case bids may be unobserved in some auctions) and present general conditions for partial identification. We propose a nonparametric maximum likelihood approach for estimation and inference. We apply our approach to the online market for used iPhones and analyze the effects of...
|March 2017||Dissecting Characteristics Nonparametrically|
with , : w23227
We propose a nonparametric method to test which characteristics provide independent information for the cross section of expected returns. We use the adaptive group LASSO to select characteristics and to estimate how they affect expected returns nonparametrically. Our method can handle a large number of characteristics, allows for a flexible functional form, and is insensitive to outliers. Many of the previously identified return predictors do not provide incremental information for expected returns, and nonlinearities are important. Our proposed method has higher out-of-sample explanatory power compared to linear panel regressions, and increases Sharpe ratios by 50%.
Published: Joachim Freyberger & Andreas Neuhierl & Michael Weber & Andrew Karolyi, 2020. "Dissecting Characteristics Nonparametrically," The Review of Financial Studies, vol 33(5), pages 2326-2377. citation courtesy of