The valuation of French Canadian paintings is analyzed empirically. Using a sample of auction prices for major French Canadian painters for the period 1968-2005, we run hedonic regressions to analyze the influence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second stage analysis in which we analyze the ...

This paper analyzes the effect of transaction costs on the social learning in an asset market with asymmetric information, sequential trading and competitive price mechanism. Both fixed and proportional transaction costs reduce the informational content of trading orders and lead to informational cascades. If transaction costs are very high, an informational cascade can occur not only when beli...

We construct a model of asset market exuberance, collapse and recovery using subjective investor-based rational expectations about the impact of fundamentals on the market price. Investors are assumed to have heterogeneous market sentiments, allowing them to be exuberant, cautious, or fundamentalist via boundary conditions that describe their respective views of the market impact of the same ec...

Purpose The purpose of this paper is to exhibit the impacts of lease duration and lease break options on the optimal holding period for a real estate asset or portfolio. Methodology/approach We use a Monte Carlo simulation framework to simulate a real estate asset’s cash-flows in which lease structures (rent, indexation pattern, overall lease duration and break options) are explicitly taken int...

This paper presents a model where uninsurable income shocks and credit constraints generate a demand for liquidity. Infinitely lived agents purchase a risky asset to self insure themselves against their individual risk. They also trade call options to diversify the aggregate risk they face. In this economy, options are not redundant but complete the market for aggregate risk. We are able to cha...

We examine the effectiveness of asset markets when the final outcome upon which the asset payout is based maybe affected by the unobservable actions of the traders. Players participate in a minimum effort coordination game preceeded by an information market where the asset payoffs are determined by the observed minimum effort level in the subsequent game. We examine both the informativeness of ...

The valuation of Canadian paintings is analyzed empirically. Using a sample of auction prices for major Canadian painters for the period 19682001, we run hedonic regressions to analyze the in‡uence of various factors, including painter identity, on auction prices, as well as to construct a market price index. This index is used in a second stage analysis in which we analyze the properties of Ca...