【主题】Sentiment and Agency Problems: Evidence from An Auction Market
【时间】2021年10月26日 星期二 10:00-11:30
【摘要】 This study employs a new data set from art auctions to examine the relationship among market sentiment, auctioneer price estimates, buyer optimism and asset returns. We find that auctioneer tends to provide rosier presale price estimates during high sentiment periods and this bias is more pronounced for high price paintings. Buyers also tend to pay more above price estimates during high sentiment periods. High price estimates, however, are associated with adverse future returns. We also discover that art returns display strong long term mean reversion. These results are consistent with the view that auctioneer price estimates are affected by agency problems and some buyers are more credulous during high sentiment periods.
【报告人简介】梅建平，先后获得美国普林斯顿大学经济学硕士和博士学位。长江商学院金融学教授。曾任纽约大学金融学副教授、芝加哥大学访问副教授并任职于普林斯顿大学。苏富比梅摩艺术品指数共同创建人。研究方向为国际金融，房地产金融，资产定价和银行学。在American Economic Review, Journal of Finance, Journal of Financial Economics, Review of Financial Studies等国际著名金融学、经济学术刊物上发表论文多篇。