When a Master Dies: Speculation and Asset Float

Author:

Pénasse Julien1,Renneboog Luc2,Scheinkman José A3

Affiliation:

1. University of Luxembourg

2. Tilburg University

3. Columbia University, Princeton University, and NBER

Abstract

Abstract 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%).

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance,Accounting

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