Speculative Trading and Bubbles: Evidence from the Art Market
研究发现战后艺术品市场的繁荣-萧条周期由外推预期驱动，价格高涨伴随交易量、短期交易占比等投机泡沫特征，且短期交易表现逊于长期交易，调查证据也支持外推信念助长泡沫的观点。
We argue that extrapolative expectations drive boom–bust cycles in the postwar art market. Price run-ups coincide with increases in demand fundamentals but are followed by predictable busts. Predictable changes account for about half of the variance of five-year price changes. High prices coincide with many attributes of speculative bubbles: trading volume, the share of short-term trades, the share of postwar art, and volatility are all higher during booms. In addition, short-term transactions underperform long-term transactions. Survey evidence further confirms the link between beliefs, prices, and volume dynamics as in models in which extrapolative beliefs fuel speculative bubbles. This paper was accepted by Tyler Shumway, finance.