主 题：In Art We Trust
Prof. Marshall Xiaoyin Ma is an Assistant Professor of Finance and an internal review board member at Erasmus University Rotterdam. He received his Ph.D. in Finance from Tilburg University in the Netherlands in 2019 and had studied at Shanghai Advanced Institute of Finance, Shanghai Jiao Tong University and at School of Finance, Shanghai University of Finance and Economics. Prof. Ma’s research focuses on alternative investments, experimental finance, corporate governance and cultural economics. His work has been presented at leading conferences and universities such as AEA, SFS Cavalcade, FMA, Columbia University, NYU, etc. His work won twice TiSEM Alumni Research Grants.
As trust is the cornerstone in the functioning of any market, we study the role of authenticity - as proxied by provenance information – of paintings sold in the art markets, which are opaque, illiquid, and unregulated. We examine the economic effects of authenticity on the sales probability of paintings, their hammer prices, and repeat sales returns. We collected provenance data from auction catalogues by implementing textual analysis and separated it to four dimensions related to pedigree, exhibition history, literature coverage, and certification (proof of authenticity by artists and experts). The provenance dimensions increase sales probability by 2% to 4%, lead to a price premium of 14% to 54%, and increase annualized returns by 5 to 16 percentage points, after controlling for artwork characteristics (such as topic, signature), artist, time, and auction house branch fixed effects. We perform a variety of robustness tests, e.g., by means of LASSO estimations. In order to address endogeneity issues in sales decisions, we examined repeat sales samples with longer holding periods and investigate the estate sales following the death of a collector, which we expect to be less affected by past prices. In order to address the potential reverse causality between past prices and changes in provenance, we applied a two-stage regressions on repeat sales, exploited Christie’s provenance policy change as a quasi-natural experiment in a Difference-in-Differences (DiD) setting, and also studied the provenance effects in a DiD setting for artists affected by fakes and forgeries after discovery. The attempts to address endogeneities do not invalidate the results.