Large common value auctions with risk averse bidders

We analyze large symmetric auctions with conditionally i.i.d. common values and risk averse bidders. Our main result characterizes the asymptotic equilibrium price distribution for the first- and second-price auctions. As an implication, we show that with constant absolute risk aversion (CARA), the second-price auction raises significantly more revenue than the first-price auction. While this ranking seems robust in numerical analysis also outside the CARA specification, we show by counterexamples that the result does not generalize to all risk averse utility functions.