My social psychology professor played this game in class once, to demonstrate something-or-other, almost certainly linked to her concept of mindfulness, which is all she ever talked about.
She auctioned off a $10 bill, and, no kidding, bidding reached $24 or so before she shut it down. And she did, actually, complete the transaction. The "loser" was pretty upset, and may have gotten his money back after class, for all I know. Still, it was a great show, and a good time was had by all. You have to wonder, though, whether people continued to bid to cut their losses, or out of pride. People are funny like that...
I wouldn't be surprised, actually, if she kept the students' money. She was a complete lunatic as far as professors go, but apparently rather shrewd. Just don't play this game in a bar, though, because it's very likely to get you beat up.