Online privacy protection has gained momentum in recent years and spurred both government policies and private initiatives. A hallmark of this movement is the ongoing removal of third-party cookies - a device widely adopted to track online user behavior and implement targeted ads - from web browsers. Although intended to protect internet users, banning third-party cookies may hamper advertiser's ability to target consumers effectively and impose potentially huge economic costs on online advertisers. As online ads lose their value, web publishers' advertisement revenue - a vital component of their bottom lines - may decrease and threaten their businesses.

We document the response of bidders to a change in auction pricing rules by a platform selling online advertising impressions. The platform switched from a second-price auction to a first-price auction in 2019. We analyze the transition and ask three questions: Did the bids by the same bidder bidding to show the same creative in the same location on the same webpage fall? If yes, did the bids fall enough? And if the bids fell enough, how long did the transition take?