@techreport{386dd5e7e6724d9d829c6a9102704006,
title = "Bubbles and Trading Frenzies: Evidence from the Art Market",
abstract = "The art market is subject to frequent booms and busts in both prices and volume, which are difficult to reconcile with models where agents are rational and hold homogenous beliefs. This paper shows that (i) volume is mainly driven by speculative transactions; (ii) positive price-volume correlation is pervasive across art movements, and is larger for the most volatile segments of the art market; (iii) volume predicts negative long-term returns, a relation that is statistically and economically large. Overall, our evidence supports the bubble model of Scheinkman and Xiong (2003), which predicts that speculative trading can generate significant price bubbles, even if trading costs are huge and leverage is impossible. ",
keywords = "art market, bubbles, return predictability, auction, trading volume",
author = "J.N.G. Penasse and L.D.R. Renneboog",
year = "2014",
month = nov,
day = "13",
language = "English",
volume = "2014-068",
series = "Tilec Discussion Paper",
publisher = "Finance",
type = "WorkingPaper",
institution = "Finance",
}