Speculative Trading and Bubbles: Evidence from the Art Market

• 成果类型: Article
• 署名作者: Penasse, Julien; Renneboog, Luc
• 署名单位: University of Luxembourg; Tilburg University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4088
• 发表日期: 2022
• 页码: 4939-4963
• 关键词: extrapolative beliefs; Speculative bubbles; trading volume; art auction

摘要

We argue that extrapolative expectations drive boom-bust cycles in the postwar art market. Price run-ups coincide with increases in demand fundamentals but are followed by predictable busts. Predictable changes account for about half of the variance of five-year price changes. High prices coincide with many attributes of speculative bubbles: trading volume, the share of short-term trades, the share of postwar art, and volatility are all higher during booms. In addition, short-term transactions underperform long-term transactions. Survey evidence further confirms the link between beliefs, prices, and volume dynamics as in models in which extrapolative beliefs fuel speculative bubbles.