Replication data for: A Model of Trading in the Art Market
Principal Investigator(s): View help for Principal Investigator(s) Stefano Lovo; Christophe Spaenjers
Version: View help for Version V1
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20160522_Data | 10/12/2019 06:05:AM | ||
LICENSE.txt | text/plain | 14.6 KB | 10/12/2019 02:05:AM |
Project Citation:
Lovo, Stefano, and Spaenjers, Christophe. Replication data for: A Model of Trading in the Art Market. Nashville, TN: American Economic Association [publisher], 2018. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2019-10-12. https://doi.org/10.3886/E113129V1
Project Description
Summary:
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We present an infinite-horizon model of endogenous trading in the art auction market. Agents make purchase and sale decisions based on the relative magnitude of their private use value in each period. Our model generates endogenous cross-sectional and time-series patterns in investment outcomes. Average returns and buy-in probabilities are negatively correlated with the time between purchase and resale (attempt). Idiosyncratic risk does not converge to zero as the holding period shrinks. Prices and auction volume increase during expansions. Our model finds empirical support in auction data and has implications for selection biases in observed prices and transaction-based price indexes.
Scope of Project
JEL Classification:
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C43 Index Numbers and Aggregation; Leading indicators
D44 Auctions
E32 Business Fluctuations; Cycles
Z11 Cultural Economics: Economics of the Arts and Literature
C43 Index Numbers and Aggregation; Leading indicators
D44 Auctions
E32 Business Fluctuations; Cycles
Z11 Cultural Economics: Economics of the Arts and Literature
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