Waiting for Trade in Markets with Aggregate Uncertainty

This paper studies learning in markets with aggregate uncertainty about whether trade is efficient. A long-lived seller offers prices to buyers, who are short-lived and arrive according to a Poisson process. A hidden state determines whether the buyers' common value exceeds the seller's reservation value. All parties observe noisy, private signals about the state. With small intertemporal frictions and when the seller has commitment power, the seller waits for a buyer with the most favorable signal to arrive up to an exit time that depends on the seller's private information. This strategy profile maximizes both the seller's profit and the expected surplus. Without commitment, the commitment profit is unattainable. Instead, there is an equilibrium in which the seller also waits for a buyer with the most favorable signal, but, relative to the commitment case, the seller exits inefficiently late, and the trade probability is inefficiently high.