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

Using dynamic panel data econometric techniques, we analyzethe price structure of sequential auctions of modern and contemporary art that took place inItaly during the period 1983–1996. Contrary to previous empirical studies, we do not find anyafternoon effect, or decline of auction prices relative to estimated values. Taking intoconsideration the structure of the auctions and the dynamic nature of price determination, we proposean interpretation of the empirical results that encompasses previous contributions.