Abstract
This paper shows that the price of a painting sold at an art auction and the experts' pre-sale valuations are anchored on the price at which the painting previously sold at auction. We are able to separate anchoring from rational learning by using the identifying strategy that the unobservable component of quality for a particular painting remains constant between the last auction sale and the current auction sale. We interpret these results as anchoring on the part of the buyers, with the sellers and auctioneers either anticipating anchoring on the part of the buyers or exhibiting anchoring effects themselves.