The Capital Asset Pricing Model (CAPM) has been used in a number of studies to explore the features of the art market (or individual artists). We claim that such studies have been based on unsuitable estimates of art market returns in the context of the CAPM methodology. The CAPM calls for...

We characterize pure strategy equilibria of common value multi-unit uniform price auctions under the framework of initial public offerings, where bidders have incomplete private information regarding the value of shares and submit discrete demand schedules. We show that there exists a continuum...

The paper deals with the pattern of asset price dynamics as sequence of "bull markets" and "bear markets" and with stabilizing these" long swings" through replacing continuous asset trading with electronic auctions. First, the paper sketches the channels through which the "overshooting" of...

Simultaneous research efforts made in 1962 by Gary Becker and Vernon Smith proved that neither rationality nor complete information are necessary market conditions to reach a competitive equilibrium. Although behavioral extensions to this framework have shown significant progress towards a...

This paper contains a new review of the research of the last decade that has been designed to shed light on how the art auction system works, what it indicates about price formation, and how well it performs. We begin with a short description of the mechanics of the auction system and then...

Conventional wisdom, reflected in firm, investment bank, and court practice and the way academics teach corporate finance, suggests that the equity cost of capital varies considerably across firms. This practice builds on a vast amount of evidence on expected rate of return differences between...