In Art We Trust
研究了艺术品拍卖中来源信息（如收藏历史、展览记录）对成交概率、价格和回报的影响，发现来源信息能显著提升作品售出率和溢价，对艺术市场参与者有参考价值。
Whereas trust is the cornerstone of any market’s functioning, it is of particular importance in markets that are unregulated, illiquid, and opaque, such as the art market. This study examines the role of authenticity, as captured by provenance information in auction catalogs, on the probability of auctioned oil paintings, watercolors, and prints being sold; their price formation; and returns. Auction catalogs include four authenticity dimensions: pedigree (ownership “blockchain,” descendance information; type of past owners, such as renowned collectors; and past sales records), exhibition history (e.g., in famous museums or galleries), literature coverage (e.g., in catalogues raisonnés or authoritative press), and certification (e.g., artist’s physical testimonial, expert opinions). We find that trust, proxied by provenance information, increases the probability of a work being sold by up to 4%, leads to hammer price premiums up to 54%, and increases annualized returns by 5%–16%. To address potential endogeneity problems between the provision of provenance and past prices/price expectations, we perform quasi-natural experiments in difference-in-differences settings on auction houses’ provenance policy changes following authenticity litigation and on a contamination effect of the discovery of fakes and forgeries on the oeuvre of forged artists. We also test transactions less affected by past prices, such as estate sales following the death of a collector. The findings on the relation between provenance and prices are robust to artist reputation, artistic style, auction house reputation, art market liquidity, and artist career timing. This paper was accepted by Tomasz Piskorski, finance. Funding: Y. Li gratefully acknowledges supports from the National Natural Science Foundation of China [Grant 72204257] and the Area Studies Fund of Renmin University of China [Grant AS2022002]. This study is partially funded by the Tilburg Alumni Fund. Supplemental Material: The online appendix and data are available at https://doi.org/10.1287/mnsc.2022.4633 .