This study presents a laboratory experiment of the first and second price sealed bid auctions with independent private values, where the distribution of bidder valuations may be unknown. In our experimental
setting, in first price auctions, bids are lower with the presence of ambiguity. This result is consistent with ambiguity loving in a model that allows for different ambiguity attitudes. We also find that the first price
auction
generates significantly higher revenue than the second price auction with and
without ambiguity.
Keywords: sealed bid auctions, ambiguity, experiment.
JEL Classification: C91, D44, D83.