Vested Interest and Biased Price Estimates: Evidence from an Auction Market
利用艺术品拍卖数据，发现拍卖行对高价画作的估价存在持续30年的向上偏差，高估价与后续负异常回报相关，且个体画作的估计误差具有持续性，表明代理问题和投资者轻信影响了估价。
ABSTRACT This study employs a new data set from art auctions to examine the relationship between auctioneer presale price estimates and the long‐term performance of artworks. We find that the price estimates for expensive paintings have a consistent upward bias over a long period of 30 years. High estimates at the time of purchase are associated with adverse subsequent abnormal returns. Moreover, the estimation error for individual paintings tends to persist over time. These results are consistent with the view that auction house price estimates are affected by agency problems and that some investors are credulous.