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.
Disciplines :
Finance
Auteur, co-auteur :
PENASSE, Julien ; University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF)
Renneboog, Luc
Co-auteurs externes :
yes
Langue du document :
Anglais
Titre :
Speculative Trading and Bubbles: Evidence from the Art Market
Date de publication/diffusion :
juillet 2022
Titre du périodique :
Management Science
ISSN :
0025-1909
eISSN :
1526-5501
Maison d'édition :
Institute for Operations Research and the Management Sciences, Etats-Unis
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