Agency Problems and Sentiment: Evidence from An Auction Market

63 Pages Posted: 15 Apr 2022

See all articles by Jianping Mei

Jianping Mei

Cheung Kong Graduate School of Business

Michael Moses

Art Market Consultancy

Date Written: February 1, 2022

Abstract

This study provides an empirical test of the Bolton, Freixas and Shapiro (2012) credit ratings model using data from art auctions. Our empirical work discovers that, despite the fact that art and bonds belong to totally different asset classes, financial intermediaries and investors behave in almost exactly the same way as the model would predict when intermediaries have agency problems and investors are subject to market sentiment. The analysis demonstrates that self-interest and sentiment are pervasive forces for driving wide-ranging investor behavior and asset pricing.

Keywords: Asset Pricing, Behavioral Finance, and Cultural Economics

JEL Classification: G02, G12, Z11

Suggested Citation

Mei, Jianping and Moses, Michael, Agency Problems and Sentiment: Evidence from An Auction Market (February 1, 2022). Available at SSRN: https://ssrn.com/abstract=4023654 or http://dx.doi.org/10.2139/ssrn.4023654

Jianping Mei (Contact Author)

Cheung Kong Graduate School of Business ( email )

1017, Oriental Plaza 1
No.1 Dong Chang'an Street
Beijing
China
010-81588858 (Phone)
100738 (Fax)

Michael Moses

Art Market Consultancy ( email )

20 WEST 64TH STREET
APT 26K
NEW YORK, NY 10023
United States

HOME PAGE: http://www.stern.nyu.edu/om/faculty/moses/

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