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Investor attention and art investment returns: The role of noise trading risk premium

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  • Ma, Yongfan
  • Qi, Tiancheng

Abstract

This study investigates the impact of investor attention on art investment returns, addressing a gap in auction-driven, non-financial asset markets. Existing literature provides conflicting views on attention, largely focusing on liquid financial markets. Using Chinese art auction data from 2011 to 2019, we employ a repeat sales model to examine the impact of investor attention on art returns. We find that heightened investor attention significantly increases art investment returns by approximately 3.8 %. This positive effect is not driven by price pressure but by a risk compensation mechanism. Specifically, investor attention attracts noise traders, intensifies idiosyncratic volatility, and generates a winner's-curse premium. The findings link investor attention to auction theory and inform market design and investor protection in emerging art markets.

Suggested Citation

  • Ma, Yongfan & Qi, Tiancheng, 2026. "Investor attention and art investment returns: The role of noise trading risk premium," Economic Modelling, Elsevier, vol. 155(C).
    • Handle: RePEc:eee:ecmode:v:155:y:2026:i:c:s0264999325003888
    DOI: 10.1016/j.econmod.2025.107393
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    JEL classification:

    • Z11 - Other Special Topics - - Cultural Economics - - - Economics of the Arts and Literature
    • D44 - Microeconomics - - Market Structure, Pricing, and Design - - - Auctions
    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles

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