The winner's curse on art markets

We investigate the effect of overreaction in the fine art market. Using a unique sample of auction prices of modern prints, we define an overvalued (undervalued) print as a print that was bought for a price above (below)
We investigate the effect of overreaction in the fine art market. Using a unique sample of auction prices of modern prints, we define an overvalued (undervalued) print as a print that was bought for a price above (below) its high (low) auction pricing estimate. Based on the overreaction hypothesis, we predict that overvalued (undervalued) prints generate a negative (positive) excess return at a subsequent sale. Our empirical findings confirm our expectations. We report that prints that were bought for a price 10 percent above (below) its high (low) pricing estimate generate a positive (negative) excess return of 12 percent (17 percent) after controlling for the general price movement on the prints market. The price correction for overvalued (undervalued) prints is more pronounced during recessions (expansions).
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Metadaten
Author:Roman Kräussl, Elizaveta Mirgorodskaya
URN:urn:nbn:de:hebis:30:3-427461
URL:https://www.ifk-cfs.de/fileadmin/downloads/publications/wp/2016/CFS_WP_564.pdf
Parent Title (English):Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 564
Series (Serial Number):CFS working paper series (564)
Publisher:Center for Financial Studies
Place of publication:Frankfurt, M.
Document Type:Working Paper
Language:English
Year of Completion:2017
Year of first Publication:2017
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2017/01/24
Tag:art market; auction; overreaction; pricing estimates; repeat sale; winner's curse
Issue:September 2016
Pagenumber:38
HeBIS PPN:399355278
Institutes:Wirtschaftswissenschaften
Center for Financial Studies (CFS)
Dewey Decimal Classification:330 Wirtschaft
JEL-Classification:E32 Business Fluctuations; Cycles
G11 Portfolio Choice; Investment Decisions
G14 Information and Market Efficiency; Event Studies
Sammlungen:Universitätspublikationen
Licence (German):License Logo Veröffentlichungsvertrag für Publikationen

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