A Convergence Theorem for Competitive Bidding With Differential Information

This paper investigates the behavior of the winning bid in a sealed bid tender auction where each bidder has private sample information. With an appropriate concept of value, the winning bid will converge in probability to the value of the object at auction (as the number of bidders grows large) if and only if a certain information condition is satisfied. Our results speak to the relationship between price and value and to how information is aggregated in the auctions. They also speak to the efficiency of the auction scheme in aggregating private information.