A magic trick is made up of more than one component. First is the element of the expectations of the audience. If they are told they will see magic, it will help them to believe that anything out of the ordinary is magic, or at least an illusion. Expectations may not be that they will see something magic; it may simply be that they expect to be entertained. Particularly in the high budget stage shows, the entertainer has a reputation which will lead to certain expectations by the audience.
If you hear on previews that the Statue of Liberty will be made to disappear, you have some expectation that at least the Statue of Liberty will seem to disappear, simply because David Copperfield has a reputation for making things disappear in full view of live audiences plus
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