A Model of Trading in the Art Market

Stefano Lovo and Christophe Spaenjers

No 1150, HEC Research Papers Series from HEC Paris

Abstract: 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.

Keywords: art; auctions; endogenous trading; price indexes; private values; returns (search for similar items in EconPapers)
JEL-codes: D44 D84 G11 G12 Z11 (search for similar items in EconPapers)
Pages: 73 pages
Date: 2014-03-05, Revised 2017-09-22
New Economics Papers: this item is included in nep-cul
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=2404339 (application/pdf)

Related works:
Journal Article: A Model of Trading in the Art Market (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1150

Access Statistics for this paper

More papers in HEC Research Papers Series from HEC Paris HEC Paris, 78351 Jouy-en-Josas cedex, France. Contact information at EDIRC.
Bibliographic data for series maintained by Antoine Haldemann ().