![]() Penasse, Julien ![]() in MANAGEMENT SCIENCE (2022), 68(7), 4755-5555 We argue that extrapolative expectations drive boom–bust cycles in the postwarart market. Price run-ups coincide with increases in demand fundamentals but are fol-lowed by predictable busts. Predictable ... [more ▼] We argue that extrapolative expectations drive boom–bust cycles in the postwarart market. Price run-ups coincide with increases in demand fundamentals but are fol-lowed by predictable busts. Predictable changes account for about half of the variance offive-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 areall higher during booms. In addition, short-term transactions underperform long-termtransactions. Survey evidence further confirms the link between beliefs, prices, and volumedynamics as in models in which extrapolative beliefs fuel speculative bubbles. [less ▲] Detailed reference viewed: 43 (3 UL)![]() Penasse, Julien ![]() in Management Science (2021) Detailed reference viewed: 40 (8 UL)![]() Penasse, Julien ![]() in Review of Financial Studies (2021), 34(8), 38403879 Detailed reference viewed: 65 (3 UL)![]() Penasse, Julien ![]() Scientific Conference (2020, January 30) Detailed reference viewed: 111 (7 UL)![]() Penasse, Julien ![]() E-print/Working paper (2015) Detailed reference viewed: 42 (0 UL) |
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