Bidders' and Sellers' Strategies in Sequential Auctions. New Evidence about the Afternoon Effect

Abstract

Using dynamic panel data econometric techniques, we analyze the price structure of sequential auctions of modern and contemporary art that took place in Italy during the period 1983- 1996. Contrary to previous empirical studies, we do not find any "afternoon effect", or decline of auction prices relative to estimated values. Taking into consideration the structure of the auctions and the dynamic nature of price determination, we propose an interpretation of the empirical results that encompasses previous contributions.