Bidders’ Responses to Auction Format Change in Internet Display Advertising Auctions
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摘要
This study uses a staggered adoption of first-price auctions (FPAs) in internet display advertising to examine how bidders learn and how prices evolve after a format switch from second-price auctions (SPAs). Using differences-in-differences (DID) and synthetic difference-in-differences (SDID) on a massive publisher-bidder dataset from Xandr, the authors find that revenues per sold impression jump immediately after FPAs, with increases ranging roughly from 25% to 70% of the pre-treatment price level across four events. Over time, the price premium dissipates in three later switches, consistent with gradual learning and bid shading adjustments toward a Bayesian-Nash equilibrium; in some specifications prices even revert toward SPA levels. The last event shows no significant immediate jump, consistent with prior learning. The heterogeneity analysis indicates that less sophisticated bidders exhibit larger price increases than the ad-exchange’s AppNexus/Xandr bidder, suggesting bid shading as the mechanism behind the transitory effect. These results offer important guidance for auction designers in evaluating short-run price effects after format changes and the potential for long-run convergence to revenue-equivalence levels. [page::1][page::14][page::19]
