Art market inefficiency

Geraldine David, Kim Oosterlinck and Ariane Szafarz

Economics Letters, 2013, vol. 121, issue 1, 23-25

Abstract: Art is often used as an investment vehicle. Given the importance of market efficiency in finance, we use a large auction-based index to test whether the art market is weakly efficient. Evidence reveals that returns on artworks exhibit high positive auto-correlation. We attribute this result to price truncation resulting from unobservable reserve prices in auctions. We conclude that the art market is not efficient, mainly because price formation is opaque to outsiders who lack information on unsold artworks.

Keywords: Art market; Market efficiency; Auction; Random walk; Reserve price (search for similar items in EconPapers)
JEL-codes: D44 D84 G12 G14 Z1 (search for similar items in EconPapers)
Date: 2013
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (31)

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Working Paper: Art Market Inefficiency (2013)
Working Paper: Art Market Inefficiency (2013)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:121:y:2013:i:1:p:23-25

DOI: 10.1016/j.econlet.2013.06.033

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