Show simple item record

dc.contributor.advisorΒολιώτης, Δημήτριος
dc.contributor.advisorVoliotis, Dimitrios
dc.contributor.authorZarpala, Lamprini
dc.contributor.authorΖαρπαλά, Λαμπρινή
dc.publisherΠανεπιστήμιο Πειραιώςel
dc.rightsΑναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα*
dc.rightsΑναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα*
dc.titleEssays in auction theory with applications in corporate financeel
dc.typeDoctoral Thesisel
dc.contributor.departmentΣχολή Χρηματοοικονομικής και Στατιστικής. Τμήμα Χρηματοοικονομικής και Τραπεζικής Διοικητικήςel
dc.description.abstractENThis Ph.D. thesis is a collection of three publishable papers with a significant contribution to auction theory and its corporate finance applications. Each chapter of this thesis addresses each paper separately, apart from Chapter 1. In Chapter 1, we introduce and explain some essential auction-theoretic toolkits for the following chapters' analysis and discuss some seminal papers we used as a grounding base of our research. Chapter 2 investigates how uniform-price auctions can be used for the pricing of corporate bonds. In order to have a realistic approach, we incorporate the investment mandates and the budget limits on the bidding strategies under the presence of a secondary market. To our knowledge, we are the first to address all these factors in one model and result in some interesting results presented both in section 2.4 and Chapter 5. The next chapters examine the auction designs of portfolio trading. In Chapter 3 we propose a two-stage auction design for the pricing of blind portfolios - a basket of unknown securities auctioned at a pre-determined execution price. The mechanism allows information release at the interim and this feature not only can reduce the asset managers' liquidation costs but also eliminate brokers' "winners' curse". In Chapter 4 we design a two-stage auction for a divisible portfolio auctioned either as parts or as a whole. Again the two-round setup admits an information release at the interim, which may offset the "winner's curse". Our main novelty is a new pricing rule for a core-selecting auction that extends the current Nearest-VCG in a dynamic two-round setup and can mitigate free-riding incentives. The last chapter summarizes the results from previous chapters and concludes.el
dc.subject.keywordBond marketel
dc.subject.keywordMarket structureel
dc.subject.keywordMarket designel
dc.subject.keywordRisk limitsel
dc.subject.keywordBudget limitsel
dc.subject.keywordTwo-round auctionsel
dc.subject.keywordAffliated signalsel
dc.subject.keywordPricipal blind biddingel
dc.subject.keywordPackage auctionel
dc.subject.keywordVCG paymentsel
dc.subject.keywordPortfolio tradingel

Files in this item


This item appears in the following Collection(s)

Show simple item record

Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα
Except where otherwise noted, this item's license is described as
Αναφορά Δημιουργού-Μη Εμπορική Χρήση-Όχι Παράγωγα Έργα 3.0 Ελλάδα

Βιβλιοθήκη Πανεπιστημίου Πειραιώς
Contact Us
Send Feedback
Created by ELiDOC
Η δημιουργία κι ο εμπλουτισμός του Ιδρυματικού Αποθετηρίου "Διώνη", έγιναν στο πλαίσιο του Έργου «Υπηρεσία Ιδρυματικού Αποθετηρίου και Ψηφιακής Βιβλιοθήκης» της πράξης «Ψηφιακές υπηρεσίες ανοιχτής πρόσβασης της βιβλιοθήκης του Πανεπιστημίου Πειραιώς»