Are There Bubbles in the Art Market? The Detection of Bubbles when Fair Value is Unobservable

Nandini Srivastava and Stephen Satchell
Additional contact information
Nandini Srivastava: Christ's College, University of Cambridge
Stephen Satchell: Department of Economics, Mathematics & Statistics, Birkbeck

No 1209, Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics

Abstract: The purpose of this paper is to look for bubbles in the Art Market using a structure based on steady state results for TAR models and appropriate definitions of bubbles recently put forward by Knight, Satchell and Srivastava (2011). The usual method for investigating bubbles is to measure prices as deviations from fair value. We assess whether it is meaningful to define a fair value of art and conclude that it is very challenging empirically to implement any definition. We then treat fair value as zero in one instance and unobservable in the other case and in both cases provide evidence of bubbles in the art market.

Keywords: Bubbles; Asset prices; Steady state; Non-linear time series; TAR models; Art markets (search for similar items in EconPapers)
JEL-codes: G12 (search for similar items in EconPapers)
Date: 2012-04
New Economics Papers: this item is included in nep-cul
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
https://eprints.bbk.ac.uk/id/eprint/5950 First version, 2012 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:bbk:bbkefp:1209

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Birkbeck Working Papers in Economics and Finance from Birkbeck, Department of Economics, Mathematics & Statistics Malet Street, London WC1E 7HX, UK.
Bibliographic data for series maintained by ( this e-mail address is bad, please contact ).