January 2024
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1 Citation
Annals of Corporate Governance
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Publications (61)
May 2023
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15 Reads
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1 Citation
Journal of Financial and Quantitative Analysis
This article argues that corporate financial frictions can have an adverse effect on employee mental health, an important determinant of employee productivity. To identify the causal effects of financial frictions, we exploit variation in firms’ need to refinance their long-term debt in 2008, a period when refinancing became more difficult due to the credit crunch. Using administrative microdata, we find that antidepressant use grows significantly more among employees of firms in higher need of debt refinancing. Much of this effect occurs at employees keeping their jobs, pointing to decreased perceptions of job security as a transmission channel.
January 2023
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7 Reads
SSRN Electronic Journal
December 2022
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296 Reads
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10 Citations
Management Science
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: Yuexin 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 .
January 2022
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3 Reads
SSRN Electronic Journal
January 2022
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40 Reads
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1 Citation
SSRN Electronic Journal
December 2021
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110 Reads
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25 Citations
European Financial Management
We study the price determinants and investment performance of art using a vast sample of transactions worldwide over the past 60 years. We focus on paintings and drawings which have appreciated at a real (nominal) annual return of 2.49% (6.24%). Higher art returns are reached for paintings at the high end of the price distribution, oil paintings, more recent art movements, and transactions by reputable auction houses. The risk–return trade-off of paintings underperforms that of other passion investments. Paintings’ Sharpe ratios are below those of stocks, bonds, and gold but outperform those of commodities and real estate. Investments in paintings enter the optimal investment portfolio. This article is protected by copyright. All rights reserved.
September 2021
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520 Reads
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37 Citations
Management Science
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.
January 2021
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26 Reads
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27 Citations
Review of Financial Studies
An artist’s death constitutes a negative shock to his future production; death permanently decreases the artist’s float. We use this shock to test predictions of speculative trading models with short-selling constraints. As predicted in our model, we find that an artist’s premature death leads to a permanent increase in prices and turnover; this effect being larger for more famous artists. We document that premature death increases prices (by 54.7%) and secondary market volume (by 63.2%).
January 2021
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43 Reads
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6 Citations
SSRN Electronic Journal
Citations (39)
... This view is strengthened by the fact that the art market is informationally inefficient (David et al. 2013). David et al. (2021) find the British art market to be negatively affected by crises, suggesting that investments in artworks may not be useful even in times of crisis. This result is in sharp contrast with the boom observed in occupied countries during World War II. ...
Reference:
The German art market during WW II
- Citing Article
January 2022
SSRN Electronic Journal
... Goetzmann et al. (2011) argued that art market returns are influenced by economic growth and wealth distribution. Additional research has explored various economic aspects of the art market using auction data, including the investment performance of artworks (Etro & Stepanova, 2021;Korteweg et al., 2015;Li et al., 2022;Renneboog & Spaenjers, 2013), gender biases (Bocart et al., 2022), market bubbles (Hiraki et al., 2009;Kräussl et al., 2016;Pénasse & Renneboog, 2022), and the effect of artists' deaths on supply (Pénasse et al., 2021;Pimenov et al., 2025). In particular, Etro and Stepanova (2021) demonstrated that a previous failure to sell a painting serves as a negative signal, leading to reduced future returns, which aligns with the findings of Beggs and Graddy (2008). ...
- Citing Article
December 2021
European Financial Management
... Previous research found that the return on stocks, people's real income, and consumer demand for luxurious artworks are the key factors determining the value of art [6]. The return on art is extraordinarily high in fast-growing regions like China, Russia, and the Middle East, attributed to the enormous income inequality and the significant increase in personal wealth of few persons in these regions [4]. ...
- Citing Article
January 2021
SSRN Electronic Journal
... Goetzmann et al. (2011) argued that art market returns are influenced by economic growth and wealth distribution. Additional research has explored various economic aspects of the art market using auction data, including the investment performance of artworks (Etro & Stepanova, 2021;Korteweg et al., 2015;Li et al., 2022;Renneboog & Spaenjers, 2013), gender biases (Bocart et al., 2022), market bubbles (Hiraki et al., 2009;Kräussl et al., 2016;Pénasse & Renneboog, 2022), and the effect of artists' deaths on supply (Pénasse et al., 2021;Pimenov et al., 2025). In particular, Etro and Stepanova (2021) demonstrated that a previous failure to sell a painting serves as a negative signal, leading to reduced future returns, which aligns with the findings of Beggs and Graddy (2008). ...
- Citing Article
- Full-text available
September 2021
Management Science
... Goetzmann et al. (2011) argued that art market returns are influenced by economic growth and wealth distribution. Additional research has explored various economic aspects of the art market using auction data, including the investment performance of artworks (Etro & Stepanova, 2021;Korteweg et al., 2015;Li et al., 2022;Renneboog & Spaenjers, 2013), gender biases (Bocart et al., 2022), market bubbles (Hiraki et al., 2009;Kräussl et al., 2016;Pénasse & Renneboog, 2022), and the effect of artists' deaths on supply (Pénasse et al., 2021;Pimenov et al., 2025). In particular, Etro and Stepanova (2021) demonstrated that a previous failure to sell a painting serves as a negative signal, leading to reduced future returns, which aligns with the findings of Beggs and Graddy (2008). ...
- Citing Article
January 2021
Review of Financial Studies
... This political pressure led to substantial road investments in a short period, resulting in poor application of legislation in the tendering process. Emphasizing this point, Cruz and Marques (2012) and Sarmento and Renneboog (2021) note the high infrastructure costs for taxpayers, the uncertainty surrounding the economic benefits, given the very high road density, the risk-sharing imbalances, and the shortcomings in the tendering process. They also suggest that contractual governance marred the PPP experience due to poor contract monitoring. ...
- Citing Article
- Full-text available
November 2020
Journal of Multinational Financial Management
... 17 These companies such as Maecenas and Masterworks emphasize art as asset class rather than, in the case of the Artist's Contract, artists as producers with continuing agency and claim to financial upside (Adam, 2020). 18 In contrast, resale royalties and fractional equity can theoretically be traded for artists who are still living, operating outside the economics of scarcity of deceased artists (Kräussl, 2013;Penasse et al. 2020), but with closer relationship to investment in an operating company, that is, in this case an artist still producing work. Here, resale royalties or equity-and the ability to resell either on an exchangebecomes a potential form of financial support for living artists. ...
- Citing Article
January 2019
SSRN Electronic Journal
... Philanthropic responsibility refers to the voluntary initiatives firms undertake to benefit society, such as community development projects and charitable contributions [25,26]). As an integral aspect of CSR, financial responsibility includes the firm's economic performance and integrating environmental, social, and governance (ESG) factors into financial decision-making processes [27,28]. These diverse responsibilities are interconnected, forming the foundation for sustainable and ethical business practices. ...
- Citing Article
January 2020
SSRN Electronic Journal
... As ESG investing gained momentum, a substantial influx of capital began to enter the Chinese market. Notably, in 2017, BlackRock-the world's largest asset management firm-incorporated ESG principles into its investment framework, thereby propelling ESG into the mainstream investment discourse [59]. In 2018, MSCI, a leading index provider, launched its ESG rating system, equipping global investors with standardized tools to assess corporate ESG performance and contributing to the expansion of the global ESG investment landscape [60]. ...
- Citing Article
March 2020
Oxford Review of Economic Policy
... Finally, we detail the procedure used to extend the database of Liang and Renneboog (2020). Indeed, the objectives of SWFs from Egypt, Guyana, Mexico, Nigeria, South Africa and Uganda are missing for various reasons: ...
- Citing Article
January 2019
SSRN Electronic Journal
