Reference : Speculative Trading and Bubbles: Evidence from the Art Market
Scientific journals : Article
Business & economic sciences : Finance
http://hdl.handle.net/10993/52373
Speculative Trading and Bubbles: Evidence from the Art Market
English
Penasse, Julien mailto [University of Luxembourg > Faculty of Law, Economics and Finance (FDEF) > Department of Finance (DF) >]
Renneboog, Luc []
Jul-2022
MANAGEMENT SCIENCE
68
7
4755-5555
Yes
0025-1909
1526-5501
[en] 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.
http://hdl.handle.net/10993/52373

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